PartnerSelect Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 95.6% | ||||||||
Communication Services: 15.7% | ||||||||
4,428 | Alphabet, Inc. - Class A* | $ | 11,838,346 | |||||
886 | Alphabet, Inc. - Class C* | 2,361,465 | ||||||
4,200 | Charter Communications, Inc. - Class A* | 3,055,752 | ||||||
14,898 | Facebook, Inc. - Class A* | 5,056,232 | ||||||
23,245 | Liberty Broadband Corp. - Class A* | 3,913,296 | ||||||
12,992 | Netflix, Inc.* | 7,929,537 | ||||||
24,031 | Sea Ltd. - ADR* | 7,659,401 | ||||||
25,800 | Tencent Holdings Ltd. - ADR | 1,542,066 | ||||||
|
| |||||||
43,356,095 | ||||||||
|
| |||||||
Consumer Discretionary: 16.1% | ||||||||
17,010 | Alibaba Group Holding Ltd. - ADR* | 2,518,330 | ||||||
2,754 | Amazon.com, Inc.* | 9,047,000 | ||||||
2,500 | Booking Holdings, Inc.* | 5,934,675 | ||||||
18,000 | Dollar General Corp. | 3,818,520 | ||||||
92,600 | General Motors Co.* | 4,880,946 | ||||||
30,800 | Hilton Worldwide Holdings, Inc.* | 4,068,988 | ||||||
22,860 | JD.com, Inc. - ADR* | 1,651,406 | ||||||
27,885 | Lear Corp. | 4,363,445 | ||||||
42,440 | Prosus N.V. - ADR | 680,738 | ||||||
24,000 | Sony Corp. | 2,680,536 | ||||||
38,510 | Thor Industries, Inc. | 4,727,488 | ||||||
|
| |||||||
44,372,072 | ||||||||
|
| |||||||
Consumer Staples: 3.5% | ||||||||
138,186 | Beiersdorf AG - ADR | 3,005,545 | ||||||
39,244 | Cal-Maine Foods, Inc. | 1,419,063 | ||||||
10,400 | Constellation Brands, Inc. - Class A | 2,191,176 | ||||||
67,010 | Henkel AG & Co. KGaA - ADR | 1,445,406 | ||||||
8,708 | Sanderson Farms, Inc. | 1,638,846 | ||||||
|
| |||||||
9,700,036 | ||||||||
|
| |||||||
Energy: 0.9% | ||||||||
31,000 | EOG Resources, Inc. | 2,488,370 | ||||||
|
| |||||||
Financials: 24.9% | ||||||||
85,900 | Ally Financial, Inc. | 4,385,195 | ||||||
43,500 | American International Group, Inc. | 2,387,715 | ||||||
68,000 | Bank of America Corp. | 2,886,600 | ||||||
41,015 | Bank of New York Mellon Corp. (The) | 2,126,217 | ||||||
18 | Berkshire Hathaway, Inc. - Class A* | 7,404,822 | ||||||
18,250 | Berkshire Hathaway, Inc. - Class B* | 4,981,155 | ||||||
85,710 | Capital One Financial Corp. | 13,882,449 | ||||||
53,000 | Charles Schwab Corp. (The) | 3,860,520 | ||||||
19,458 | Chubb Ltd. | 3,375,574 | ||||||
48,300 | Citigroup, Inc. | 3,389,694 | ||||||
4,658 | Everest Re Group Ltd. | 1,168,133 | ||||||
816,500 | GoHealth, Inc. - Class A* | 4,106,995 | ||||||
8,219 | Northern Trust Corp. | 886,090 | ||||||
26,000 | Reinsurance Group of America, Inc. | 2,892,760 | ||||||
15,214 | Travelers Cos., Inc. (The) | 2,312,680 |
Shares | Value | |||||||
Financials (continued) | ||||||||
40,320 | US Bancorp | $ | 2,396,621 | |||||
130,370 | Wells Fargo & Co. | 6,050,472 | ||||||
|
| |||||||
68,493,692 | ||||||||
|
| |||||||
Health Care: 11.6% | ||||||||
24,797 | Baxter International, Inc. | 1,994,423 | ||||||
9,730 | Cigna Corp. | 1,947,557 | ||||||
6,471 | DexCom, Inc.* | 3,538,731 | ||||||
20,483 | Edwards Lifesciences Corp.* | 2,318,880 | ||||||
5,500 | Humana, Inc. | 2,140,325 | ||||||
8,457 | ICU Medical, Inc.* | 1,973,695 | ||||||
60,000 | Koninklijke Philips N.V. | 2,663,403 | ||||||
51,665 | LivaNova Plc* | 4,091,351 | ||||||
23,250 | Quest Diagnostics, Inc. | 3,378,457 | ||||||
94,499 | Smith & Nephew Plc - ADR | 3,245,096 | ||||||
8,750 | UnitedHealth Group, Inc. | 3,418,975 | ||||||
8,347 | Zimmer Biomet Holdings, Inc. | 1,221,667 | ||||||
|
| |||||||
31,932,560 | ||||||||
|
| |||||||
Industrials: 4.7% | ||||||||
18,675 | Carlisle Cos., Inc. | 3,712,404 | ||||||
412,000 | CK Hutchison Holdings Ltd. | 2,749,260 | ||||||
24,000 | Ferguson Plc | 3,340,849 | ||||||
30,375 | General Electric Co. | 3,129,536 | ||||||
|
| |||||||
12,932,049 | ||||||||
|
| |||||||
Information Technology: 14.5% | ||||||||
811 | Adyen N.V.*(a) | 2,267,627 | ||||||
12,447 | Atlassian Corp. Plc - Class A* | 4,872,005 | ||||||
5,852 | Intuit, Inc. | 3,157,213 | ||||||
10,589 | ServiceNow, Inc.* | 6,589,217 | ||||||
1,453 | Shopify, Inc. - Class A* | 1,969,948 | ||||||
6,938 | Snowflake, Inc. - Class A* | 2,098,259 | ||||||
17,099 | Square, Inc. - Class A* | 4,101,024 | ||||||
29,270 | TE Connectivity Ltd. | 4,016,429 | ||||||
7,964 | Twilio, Inc. - Class A* | 2,540,914 | ||||||
36,725 | Visa, Inc. - Class A | 8,180,494 | ||||||
|
| |||||||
39,793,130 | ||||||||
|
| |||||||
Real Estate: 2.3% | ||||||||
38,800 | CBRE Group, Inc. - Class A* | 3,777,568 | ||||||
95,401 | Equity Commonwealth - REIT | 2,478,518 | ||||||
|
| |||||||
6,256,086 | ||||||||
|
| |||||||
Utilities: 1.4% | ||||||||
13,808 | SJW Group | 912,157 | ||||||
109,318 | United Utilities Group Plc - ADR | 2,916,604 | ||||||
|
| |||||||
3,828,761 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 263,152,851 | ||||||
|
| |||||||
PREFERRED STOCK: 1.5% | ||||||||
Information Technology: 1.5% | ||||||||
71,000 | Samsung Electronics Co. Ltd. - (Preference Shares) | 4,173,648 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCK | 4,173,648 | ||||||
|
|
PartnerSelect Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS: 3.0% | ||||||||
REPURCHASE AGREEMENTS: 3.0% | ||||||||
$8,232,719 | Fixed Income Clearing Corp. 0.000%, 9/30/2021, due 10/01/2021 [collateral: par value $5,927,100, U.S. Treasury Bond, 4.375%, due 05/15/2041 value $8,398,441] (proceeds $8,232,719) | $ | 8,232,719 | |||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 8,232,719 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 275,559,218 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (0.1)% | (300,019 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 275,259,199 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
* | Non-Income Producing Security. |
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 168,801,484 | ||||
|
| |||||
Gross unrealized appreciation | 112,370,832 | |||||
Gross unrealized depreciation | (5,613,098 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 106,757,734 | ||||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 94.3% | ||||||||
Australia: 1.6% | ||||||||
2,375,203 | Incitec Pivot Ltd. | $ | 5,013,568 | |||||
169,598 | Redbubble Ltd.* | 531,203 | ||||||
|
| |||||||
5,544,771 | ||||||||
|
| |||||||
Canada: 2.2% | ||||||||
245,858 | CAE, Inc.* | 7,342,752 | ||||||
|
| |||||||
China: 5.4% | ||||||||
25,727 | Alibaba Group Holding Ltd. - ADR* | 3,808,882 | ||||||
4,232,000 | China Longyuan Power Group Corp. Ltd. - Class H | 10,340,326 | ||||||
67,800 | Tencent Holdings Ltd. | 3,975,145 | ||||||
|
| |||||||
18,124,353 | ||||||||
|
| |||||||
Denmark: 1.8% | ||||||||
37,893 | Carlsberg A/S - Class B | 6,161,231 | ||||||
|
| |||||||
Finland: 2.7% | ||||||||
186,387 | Sampo Oyj - Class A | 9,244,179 | ||||||
|
| |||||||
France: 5.9% | ||||||||
141,300 | BNP Paribas S.A. | 9,046,734 | ||||||
26,717 | Bollore S.A. | 154,416 | ||||||
394,162 | Engie S.A. | 5,170,723 | ||||||
7,600 | LVMH Moet Hennessy Louis Vuitton SE | 5,431,907 | ||||||
|
| |||||||
19,803,780 | ||||||||
|
| |||||||
Germany: 17.4% | ||||||||
29,500 | adidas AG | 9,291,238 | ||||||
49,125 | Allianz SE | 11,074,575 | ||||||
41,527 | Continental AG* | 4,550,490 | ||||||
81,715 | CTS Eventim AG & Co. KGaA* | 6,180,073 | ||||||
111,915 | Daimler AG | 9,944,001 | ||||||
65,955 | SAP SE | 8,930,922 | ||||||
135,200 | Siemens Healthineers AG(a) | 8,793,303 | ||||||
|
| |||||||
58,764,602 | ||||||||
|
| |||||||
Ireland: 11.5% | ||||||||
18,783 | Accenture Plc - Class A | 6,009,057 | ||||||
28,816 | Aon Plc - Class A | 8,234,748 | ||||||
34,800 | ICON Plc* | 9,118,296 | ||||||
54,764 | Medtronic Plc | 6,864,668 | ||||||
78,079 | Ryanair Holdings Plc - ADR* | 8,593,375 | ||||||
|
| |||||||
38,820,144 | ||||||||
|
| |||||||
Israel: 3.0% | ||||||||
1,922,454 | Israel Discount Bank Ltd. - Class A* | 10,134,063 | ||||||
|
| |||||||
Japan: 0.9% | ||||||||
170,500 | Toyota Motor Corp. | 3,043,922 | ||||||
|
| |||||||
Mexico: 1.6% | ||||||||
491,170 | Grupo Televisa SAB - ADR | 5,393,047 | ||||||
|
| |||||||
Netherlands: 8.5% | ||||||||
8,800 | ASML Holding N.V. | 6,488,435 | ||||||
102,128 | EXOR N.V. | 8,601,912 | ||||||
99,919 | Prosus N.V.* | 7,865,704 | ||||||
87,090 | Universal Music Group N.V. | 2,330,750 |
Shares | Value | |||||||
Netherlands (continued) | ||||||||
126,209 | Universal Music Group N.V. | $ | 3,377,674 | |||||
|
| |||||||
28,664,475 | ||||||||
|
| |||||||
South Africa: 0.4% | ||||||||
7,295 | Naspers Ltd. - Class N | 1,202,727 | ||||||
|
| |||||||
South Korea: 0.9% | ||||||||
9,300 | NAVER Corp. | 3,030,352 | ||||||
|
| |||||||
Spain: 4.5% | ||||||||
137,600 | Amadeus IT Group S.A.* | 9,034,999 | ||||||
239,445 | Siemens Gamesa Renewable Energy S.A.* | 6,049,583 | ||||||
|
| |||||||
15,084,582 | ||||||||
|
| |||||||
Sweden: 2.8% | ||||||||
62,400 | Evolution AB(a) | 9,480,239 | ||||||
|
| |||||||
Switzerland: 7.6% | ||||||||
5,275 | Cie Financiere Richemont S.A. -Class A | 542,759 | ||||||
969,833 | Credit Suisse Group AG | 9,595,095 | ||||||
1,746,800 | Glencore Plc | 8,246,310 | ||||||
52,700 | Temenos AG | 7,141,750 | ||||||
|
| |||||||
25,525,914 | ||||||||
|
| |||||||
United Kingdom: 15.6% | ||||||||
362,901 | CNH Industrial N.V. | 6,141,808 | ||||||
125,635 | Coca-Cola European Partners Plc | 6,878,101 | ||||||
2,176,041 | Informa Plc* | 15,939,032 | ||||||
18,284,250 | Lloyds Banking Group Plc | 11,369,493 | ||||||
323,769 | Prudential Plc | 6,282,882 | ||||||
634,100 | Sage Group Plc (The) | 6,049,842 | ||||||
|
| |||||||
52,661,158 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 318,026,291 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
CONVERTIBLE BONDS: 0.2% | ||||||||
Switzerland: 0.2% | ||||||||
Credit Suisse Group Guernsey VII Ltd. | ||||||||
| 200,000 (CHF) | | 3.000%, 11/12/2021(a) | 228,920 | ||||
| 313,000 (CHF) | | 3.000%, 11/12/2021(a) | 361,109 | ||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 590,029 | ||||||
|
|
PartnerSelect International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
SHORT-TERM INVESTMENTS: 8.4% | ||||||||
REPURCHASE AGREEMENTS: 8.4% | ||||||||
$28,540,608 | Fixed Income Clearing Corp. 0.000%, 9/30/2021, due 10/01/2021 [collateral: par value $20,547,000, U.S. Treasury Bond, 4.375%, due 05/15/2041 value $29,114,197] (proceeds $28,540,608) | $ | 28,540,608 | |||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 28,540,608 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $305,420,944): 102.9% | 347,156,928 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (2.9)% | (9,885,211 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 337,271,717 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
* | Non-Income Producing Security. |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. |
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
CURRENCY ABBREVIATIONS:
CHF | Swiss Franc |
USD | U.S. Dollar |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 305,420,944 | ||||
|
| |||||
Gross unrealized appreciation | 45,910,186 | |||||
Gross unrealized depreciation | (4,125,366 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 41,784,820 | ||||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect International Fund
SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2021 (Unaudited)
At September 30, 2021, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2021 | Fund Delivering | U.S. $ Value at September 30, 2021 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
State Street Bank and Trust Company | 12/15/2021 | USD | $ | 1,218,066 | CHF | $ | 1,169,230 | $ | 48,836 | $ | — |
PartnerSelect Oldfield International Value Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 91.6% | ||||||||
Brazil: 4.7% | ||||||||
72,300 | Embraer S.A. - ADR* | $ | 1,229,100 | |||||
|
| |||||||
China: 3.1% | ||||||||
43,700 | Alibaba Group Holding Ltd.* | 812,768 | ||||||
|
| |||||||
Finland: 1.9% | ||||||||
93,165 | Nokia Oyj* | 512,296 | ||||||
|
| |||||||
France: 4.2% | ||||||||
11,362 | Sanofi | 1,093,239 | ||||||
|
| |||||||
Germany: 18.0% | ||||||||
20,668 | Bayer AG | 1,126,737 | ||||||
93,635 | E.ON SE | 1,145,030 | ||||||
22,812 | Fresenius SE & Co. KGaA | 1,096,264 | ||||||
8,244 | Siemens AG | 1,354,480 | ||||||
|
| |||||||
4,722,511 | ||||||||
|
| |||||||
Italy: 4.0% | ||||||||
78,302 | Eni SpA | 1,042,038 | ||||||
|
| |||||||
Japan: 21.5% | ||||||||
10,600 | East Japan Railway Co. | 742,074 | ||||||
58,200 | Kansai Electric Power Co., Inc. (The) | 563,686 | ||||||
33,500 | Mitsubishi Heavy Industries Ltd. | 902,667 | ||||||
222,000 | Mitsubishi UFJ Financial Group, Inc. | 1,293,577 | ||||||
188,600 | Nomura Holdings, Inc. | 925,173 | ||||||
68,500 | Toyota Motor Corp. | 1,222,925 | ||||||
|
| |||||||
5,650,102 | ||||||||
|
| |||||||
Netherlands: 5.6% | ||||||||
17,405 | EXOR N.V. | 1,465,967 | ||||||
|
| |||||||
South Korea: 3.8% | ||||||||
641 | Samsung Electronics Co. Ltd. - GDR | 1,001,563 | ||||||
|
| |||||||
Sweden: 3.7% | ||||||||
85,855 | Svenska Handelsbanken AB - Class A | 962,578 | ||||||
|
| |||||||
United Kingdom: 21.1% | ||||||||
708,527 | BT Group Plc* | 1,521,130 | ||||||
148,757 | easyJet Plc* | 1,324,638 | ||||||
2,313,079 | Lloyds Banking Group Plc | 1,438,316 | ||||||
369,293 | Tesco Plc | 1,252,063 | ||||||
|
| |||||||
5,536,147 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 24,028,309 | ||||||
|
|
Shares | Value | |||||||
PREFERRED STOCK: 2.5% | ||||||||
Germany: 2.5% | ||||||||
6,680 | Porsche Automobil Holding SE - (Preference Shares) | $ | 665,373 | |||||
|
| |||||||
| TOTAL PREFERRED STOCK | 665,373 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 24,693,682 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 5.9% | 1,552,501 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 26,246,183 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 23,038,389 | ||||
|
| |||||
Gross unrealized appreciation | 2,318,958 | |||||
Gross unrealized depreciation | (663,665 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 1,655,293 | ||||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect SBH Focused Small Value Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 96.8% | ||||||||
Consumer Discretionary: 8.7% | ||||||||
38,688 | Gildan Activewear, Inc. | $ | 1,412,499 | |||||
34,712 | Harley-Davidson, Inc. | 1,270,806 | ||||||
74,884 | Quotient Technology, Inc.* | 435,825 | ||||||
37,433 | Six Flags Entertainment Corp.* | 1,590,902 | ||||||
31,682 | Under Armour, Inc. - Class A* | 639,343 | ||||||
|
| |||||||
5,349,375 | ||||||||
|
| |||||||
Consumer Staples: 7.6% | ||||||||
327,497 | Coty, Inc. - Class A* | 2,574,126 | ||||||
49,184 | Hain Celestial Group, Inc. (The)* | 2,104,092 | ||||||
|
| |||||||
4,678,218 | ||||||||
|
| |||||||
Energy: 1.6% | ||||||||
21,032 | PDC Energy, Inc. | 996,706 | ||||||
|
| |||||||
Financials: 15.5% | ||||||||
26,224 | Glacier Bancorp, Inc. | 1,451,498 | ||||||
15,798 | Lakeland Financial Corp. | 1,125,450 | ||||||
37,635 | National Bank Holdings Corp. - Class A | 1,523,465 | ||||||
19,427 | Pacific Premier Bancorp, Inc. | 805,055 | ||||||
42,247 | Seacoast Banking Corp. of Florida | 1,428,371 | ||||||
83,854 | Umpqua Holdings Corp. | 1,698,043 | ||||||
48,184 | United Community Banks, Inc. | 1,581,399 | ||||||
|
| |||||||
9,613,281 | ||||||||
|
| |||||||
Health Care: 4.7% | ||||||||
4,129 | ICU Medical, Inc.* | 963,626 | ||||||
51,186 | Orthofix Medical, Inc.* | 1,951,210 | ||||||
|
| |||||||
2,914,836 | ||||||||
|
| |||||||
Industrials: 33.2% | ||||||||
36,926 | Apogee Enterprises, Inc. | 1,394,326 | ||||||
13,212 | Astec Industries, Inc. | 710,938 | ||||||
32,712 | AZZ, Inc. | 1,740,278 | ||||||
30,724 | Beacon Roofing Supply, Inc.* | 1,467,378 | ||||||
46,938 | CIRCOR International, Inc.* | 1,549,423 | ||||||
15,127 | EnerSys | 1,126,054 | ||||||
42,679 | KBR, Inc. | 1,681,553 | ||||||
50,995 | Quanex Building Products Corp. | 1,091,803 | ||||||
14,936 | Regal Beloit Corp. | 2,245,478 | ||||||
126,700 | REV Group, Inc. | 2,174,172 | ||||||
58,210 | SP Plus Corp.* | 1,785,301 | ||||||
39,717 | SPX Corp.* | 2,122,874 | ||||||
63,784 | Sterling Construction Co., Inc.* | 1,445,983 | ||||||
|
| |||||||
20,535,561 | ||||||||
|
| |||||||
Information Technology: 14.2% | ||||||||
36,567 | Belden, Inc. | 2,130,393 | ||||||
108,542 | Conduent, Inc.* | 715,292 | ||||||
13,209 | CSG Systems International, Inc. | 636,674 | ||||||
20,404 | FARO Technologies, Inc.* | 1,342,787 | ||||||
62,719 | NCR Corp.* | 2,430,989 | ||||||
30,594 | Progress Software Corp. | 1,504,919 | ||||||
|
| |||||||
8,761,054 | ||||||||
|
|
Shares | Value | |||||||
Materials: 9.1% | ||||||||
36,508 | Compass Minerals International, Inc. | $ | 2,351,116 | |||||
69,006 | Element Solutions, Inc. | 1,496,050 | ||||||
126,642 | Glatfelter Corp. | 1,785,652 | ||||||
|
| |||||||
5,632,818 | ||||||||
|
| |||||||
Real Estate: 2.2% | ||||||||
52,285 | Equity Commonwealth - REIT* | 1,358,364 | ||||||
|
| |||||||
| TOTAL COMMON STOCKS | 59,840,213 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $51,058,724): 96.8% | 59,840,213 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 3.2% | 1,982,055 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 61,822,268 | ||||||
|
|
Percentages are stated as a percent of net assets.
REIT | Real Estate Investment Trust | |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 51,058,724 | ||
|
| |||
Gross unrealized appreciation | 9,966,513 | |||
Gross unrealized depreciation | (1,185,024 | ) | ||
|
| |||
Net unrealized appreciation | $ | 8,781,489 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 30.9% | ||||||||
Communication Services: 3.6% | ||||||||
39,674 | Activision Blizzard, Inc. | $ | 3,070,371 | |||||
2,967 | Alphabet, Inc. - Class A* | 7,932,334 | ||||||
2,691 | Alphabet, Inc. - Class C* | 7,172,349 | ||||||
95,592 | Baidu, Inc. - Class A* | 1,822,168 | ||||||
403 | Bilibili, Inc. - Class Z* | 26,245 | ||||||
9,539 | Charter Communications, Inc. - Class A* | 6,940,195 | ||||||
54,867 | Cineplex, Inc.* | 569,023 | ||||||
154,394 | Comcast Corp. - Class A(a) | 8,635,257 | ||||||
114,390 | Escrow Altegrity, Inc.*(b) | 752,114 | ||||||
22,036 | Facebook, Inc. - Class A*(a) | 7,478,798 | ||||||
5,293 | Fox Corp. - Class A | 212,302 | ||||||
24,160 | iHeartMedia, Inc. - Class A* | 604,483 | ||||||
5,603 | Interpublic Group of Cos., Inc. (The) | 205,462 | ||||||
3,300 | Kuaishou Technology*(c) | 35,055 | ||||||
103,013 | Nexon Co. Ltd. | 1,669,233 | ||||||
696 | Nexstar Media Group, Inc. - Class A | 105,764 | ||||||
26,188 | Score Media and Gaming, Inc.* | 896,415 | ||||||
45,097 | SoftBank Group Corp. | 2,620,532 | ||||||
17,040 | T-Mobile US, Inc.* | 2,177,030 | ||||||
500 | Tencent Holdings Ltd. | 29,633 | ||||||
14,758 | Ubisoft Entertainment S.A.* | 886,464 | ||||||
3,477 | Verizon Communications, Inc. | 187,793 | ||||||
|
| |||||||
54,029,020 | ||||||||
|
| |||||||
Consumer Discretionary: 1.9% | ||||||||
3,095 | Airbnb, Inc. - Class A* | 519,186 | ||||||
139,420 | Alibaba Group Holding Ltd.* | 2,546,582 | ||||||
318 | Amazon.com, Inc.* | 1,044,643 | ||||||
483 | Booking Holdings, Inc.* | 1,146,579 | ||||||
4,531 | Carnival Corp.* | 113,320 | ||||||
23,567 | Cie Financiere Richemont S.A. - Class A | 2,458,266 | ||||||
73,326 | Crown Resorts Ltd.* | 507,775 | ||||||
76,824 | Entain Plc* | 2,204,000 | ||||||
6,727 | Flutter Entertainment Plc* | 1,330,095 | ||||||
640 | Home Depot, Inc. (The) | 210,086 | ||||||
830 | JD.com, Inc. - Class A* | 30,193 | ||||||
31,070 | Just Eat Takeaway.com N.V.*(c) | 2,267,728 | ||||||
376 | Lowe’s Cos., Inc. | 76,275 | ||||||
558 | LVMH Moet Hennessy Louis Vuitton SE | 400,617 | ||||||
17,132 | Marriott International, Inc. - Class A* | 2,537,078 | ||||||
3,606 | McDonald’s Corp. | 869,443 | ||||||
1,200 | Meituan - Class B*(c) | 38,011 | ||||||
345 | MercadoLibre, Inc.* | 579,393 | ||||||
8,128 | Naspers Ltd. - Class N | 1,346,058 | ||||||
4,163 | NIKE, Inc. - Class B | 604,593 | ||||||
4,219 | Norwegian Cruise Line Holdings Ltd.* | 112,690 | ||||||
368 | Pinduoduo, Inc. - ADR* | 33,367 | ||||||
58,354 | Prosus N.V. | 4,661,121 | ||||||
1,712 | Ross Stores, Inc. | 186,351 | ||||||
2,875 | Royal Caribbean Cruises Ltd.* | 255,731 | ||||||
5,226 | Starbucks Corp. | 576,480 | ||||||
864 | Target Corp. | 197,657 |
Shares | Value | |||||||
Consumer Discretionary (continued) | ||||||||
2,802 | TJX Cos., Inc. (The) | $ | 184,876 | |||||
1,040 | Trip.com Group Ltd.* | 31,366 | ||||||
48,436 | Veoneer, Inc.*(a) | 1,649,730 | ||||||
1,940 | Wynn Resorts Ltd.* | 164,415 | ||||||
496 | Yum China Holdings, Inc. | 28,823 | ||||||
|
| |||||||
28,912,528 | ||||||||
|
| |||||||
Consumer Staples: 0.7% | ||||||||
13,918 | Coca-Cola Co. (The) | 730,277 | ||||||
452 | Costco Wholesale Corp. | 203,106 | ||||||
1,305 | Estee Lauder Cos., Inc. (The) - Class A | 391,409 | ||||||
82,361 | JDE Peet’s N.V. | 2,460,225 | ||||||
5,741 | Nongfu Spring Co. Ltd. - Class H(c) | 29,239 | ||||||
1,288 | PepsiCo, Inc. | 193,728 | ||||||
5,985 | Procter & Gamble Co. (The) | 836,703 | ||||||
27,553 | Sanderson Farms, Inc.(a) | 5,185,475 | ||||||
71,372 | Stryve Foods, Inc. - Class A* | 381,840 | ||||||
4,000 | Tsingtao Brewery Co. Ltd. - Class H | 31,342 | ||||||
2,569 | Tyson Foods, Inc. - Class A | 202,797 | ||||||
3,996 | Walmart, Inc. | 556,963 | ||||||
|
| |||||||
11,203,104 | ||||||||
|
| |||||||
Energy: 0.3% | ||||||||
18,829 | Battalion Oil Corp.* | 183,206 | ||||||
17,596 | California Resources Corp.* | 721,436 | ||||||
2,193 | Chevron Corp. | 222,480 | ||||||
2,356 | ConocoPhillips | 159,666 | ||||||
14,714 | Energy Transfer L.P. | 140,960 | ||||||
3,230 | EOG Resources, Inc. | 259,272 | ||||||
7,873 | Gulfport Energy Operating Corp.* | 647,239 | ||||||
126,020 | Kinder Morgan, Inc. | 2,108,315 | ||||||
12,288 | Lonestar Resources US, Inc.*(b) | 131,482 | ||||||
5,588 | Whiting Petroleum Corp.* | 326,395 | ||||||
|
| |||||||
4,900,451 | ||||||||
|
| |||||||
Financials: 4.0% | ||||||||
560 | Alpha Partners Technology Merger Corp.* | 5,538 | ||||||
133,689 | American International Group, Inc.(a) | 7,338,189 | ||||||
20,770 | Aon Plc - Class A | 5,935,443 | ||||||
2,792 | Apollo Strategic Growth Capital II* | 27,780 | ||||||
437 | Artisan Acquisition Corp. - Class A* | 4,335 | ||||||
4,213 | Artisan Partners Asset Management, Inc. - Class A | 206,100 | ||||||
3,999 | Athena Technology Acquisition Corp. - Class A* | 39,692 | ||||||
68,000 | Avanti Acquisition Corp.* | 686,807 | ||||||
1,846 | Blackstone Group, Inc. (The) | 214,764 | ||||||
107,060 | Bull Horn Holdings Corp.* | 1,090,941 | ||||||
87,611 | Citigroup, Inc.(a) | 6,148,540 | ||||||
60,800 | Fast Sponsor Capital*(b) | 60,800 | ||||||
4,420 | Fidelity National Financial, Inc. | 200,403 | ||||||
519 | Goldman Sachs Group, Inc. (The) | 196,198 | ||||||
56,143 | Groupe Bruxelles Lambert S.A. | 6,180,425 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Financials (continued) | ||||||||
11,657 | Hartford Financial Services Group, Inc. (The)(a) | $ | 818,904 | |||||
75,326 | Jefferies Financial Group, Inc.(a) | 2,796,854 | ||||||
1,326 | JPMorgan Chase & Co. | 217,053 | ||||||
8,325 | LPL Financial Holdings, Inc. | 1,305,027 | ||||||
14,054 | Macondray Capital Acquisition Corp. I* | 140,259 | ||||||
7,468 | Metals Acquisition Corp.* | 74,008 | ||||||
2,049 | Morgan Stanley | 199,388 | ||||||
6,378 | NextGen Acquisition Corp. II - Class A* | 63,206 | ||||||
3,430 | OneMain Holdings, Inc. | 189,782 | ||||||
6,266 | Pershing Square Tontine Holdings Ltd. - Class A* | 123,440 | ||||||
1,103 | Queen’s Gambit Growth Capital - Class A* | 10,887 | ||||||
70,232 | Sanne Group Plc | 854,197 | ||||||
2,039 | Signature Bank | 555,179 | ||||||
3,610 | Truist Financial Corp. | 211,726 | ||||||
122,124 | Wells Fargo & Co.(a) | 5,667,775 | ||||||
81,844 | Willis Towers Watson Plc(a) | 19,025,456 | ||||||
|
| |||||||
60,589,096 | ||||||||
|
| |||||||
Health Care: 2.8% | ||||||||
1,625 | Abbott Laboratories | 191,961 | ||||||
11,997 | Acceleron Pharma, Inc.* | 2,064,684 | ||||||
88 | Anthem, Inc. | 32,806 | ||||||
3,024 | Bristol-Myers Squibb Co. | 178,930 | ||||||
542,825 | Change Healthcare, Inc.* | 11,366,756 | ||||||
49,381 | Hill-Rom Holdings, Inc. | 7,407,150 | ||||||
85,639 | Inovalon Holdings, Inc. - Class A*(a) | 3,450,395 | ||||||
5,210 | Johnson & Johnson | 841,415 | ||||||
54,602 | Olympus Corp. | 1,202,796 | ||||||
4,116 | Pfizer, Inc. | 177,029 | ||||||
264,298 | PPD, Inc.*(a) | 12,366,504 | ||||||
1,344 | Quest Diagnostics, Inc. | 195,297 | ||||||
71,420 | Swedish Orphan Biovitrum AB* | 1,930,006 | ||||||
370 | Thermo Fisher Scientific, Inc. | 211,392 | ||||||
50,806 | Trillium Therapeutics, Inc.*(a) | 892,153 | ||||||
516 | UnitedHealth Group, Inc. | 201,622 | ||||||
20,451 | UpHealth, Inc.* | 64,625 | ||||||
2,000 | Wuxi Biologics Cayman, Inc.*(c) | 32,498 | ||||||
|
| |||||||
42,808,019 | ||||||||
|
| |||||||
Industrials: 5.3% | ||||||||
13,213 | 51job, Inc. - ADR*(a) | 918,700 | ||||||
165,369 | Aerojet Rocketdyne Holdings, Inc. | 7,201,820 | ||||||
956 | Caterpillar, Inc. | 183,523 | ||||||
297 | Clarivate Plc* | 6,504 | ||||||
235,795 | Covanta Holding Corp. | 4,744,195 | ||||||
845 | Cummins, Inc. | 189,753 | ||||||
566 | Deere & Co. | 189,650 | ||||||
3,593 | Expeditors International of Washington, Inc. | 428,034 | ||||||
118,332 | Howmet Aerospace, Inc. | 3,691,958 | ||||||
162,089 | IHS Markit Ltd. | 18,902,819 | ||||||
68,916 | Kansas City Southern(a) | 18,651,426 | ||||||
37,931 | LG Corp. | 2,979,378 |
Shares | Value | |||||||
Industrials (continued) | ||||||||
565,709 | McDermott International Ltd.* | $ | 268,712 | |||||
590,897 | McDermott International Ltd.* | 280,676 | ||||||
36,488 | Meggitt Plc* | 362,892 | ||||||
34,558 | Neles Oyj | 474,133 | ||||||
752 | Norfolk Southern Corp. | 179,916 | ||||||
42,919 | Rush Enterprises, Inc. - Class A(a) | 1,938,222 | ||||||
2,571 | Ryder System, Inc. | 212,648 | ||||||
19,890 | Samsung C&T Corp. | 2,074,675 | ||||||
17,500 | Sound Holding FP Luxemburg*(b) | 862,692 | ||||||
313,190 | Sydney Airport* | 1,865,449 | ||||||
1,021 | United Parcel Service, Inc. - Class B | 185,924 | ||||||
48,920 | Univar Solutions, Inc.* | 1,165,274 | ||||||
394,804 | Welbilt, Inc.* | 9,175,245 | ||||||
35,436 | Westinghouse Air Brake Technologies Corp. | 3,054,938 | ||||||
|
| |||||||
80,189,156 | ||||||||
|
| |||||||
Information Technology: 8.3% | ||||||||
628 | Accenture Plc - Class A | 200,910 | ||||||
15,854 | Afterpay Ltd. - ADR*(a) | 1,390,871 | ||||||
2,027 | Alteryx, Inc. - Class A* | 148,174 | ||||||
42,330 | Analog Devices, Inc. | 7,089,428 | ||||||
5,524 | Apple, Inc. | 781,646 | ||||||
3,713 | Applied Materials, Inc. | 477,974 | ||||||
874 | Autodesk, Inc.* | 249,239 | ||||||
114,065 | Avast Plc(c) | 872,334 | ||||||
47,548 | Blue Prism Group Plc* | 736,487 | ||||||
14,391 | Broadcom, Inc. | 6,978,628 | ||||||
3,594 | Cisco Systems, Inc. | 195,621 | ||||||
49,769 | Coherent, Inc.*(a) | 12,446,729 | ||||||
105,822 | Cornerstone OnDemand, Inc.*(a) | 6,059,368 | ||||||
158,278 | DSP Group, Inc.*(a) | 3,467,871 | ||||||
95,909 | Five9, Inc.*(a) | 15,320,504 | ||||||
292,819 | GreenSky, Inc. - Class A*(a) | 3,273,716 | ||||||
7,010 | HP, Inc. | 191,794 | ||||||
6,872 | International Business Machines Corp. | 954,727 | ||||||
350 | Intuit, Inc. | 188,829 | ||||||
54,363 | Kaleyra, Inc.* | 598,537 | ||||||
1,351 | KLA Corp. | 451,923 | ||||||
321 | Lam Research Corp. | 182,697 | ||||||
165,742 | Magnachip Semiconductor Corp.*(a) | 2,943,578 | ||||||
1,940 | MasterCard, Inc. - Class A | 674,499 | ||||||
152,825 | Medallia, Inc.*(a) | 5,176,183 | ||||||
699 | Microsoft Corp. | 197,062 | ||||||
159,124 | MINDBODY, Inc. - Class A* | 5,808,026 | ||||||
202,900 | Moneylion, Inc.* | 1,373,633 | ||||||
573 | Motorola Solutions, Inc. | 133,119 | ||||||
2,595 | NetApp, Inc. | 232,927 | ||||||
261,778 | Nuance Communications, Inc.*(a) | 14,408,261 | ||||||
2,876 | NVIDIA Corp. | 595,792 | ||||||
11,402 | NXP Semiconductors N.V. | 2,233,310 | ||||||
13,460 | Open Text Corp. | 656,040 | ||||||
2,306 | Oracle Corp. | 200,922 | ||||||
980 | PayPal Holdings, Inc.* | 255,006 | ||||||
191,671 | Pluralsight, Inc. - Class A* | 4,312,597 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Information Technology (continued) | ||||||||
4,248 | Qualcomm, Inc. | $ | 547,907 | |||||
1,157 | salesforce.com, Inc.* | 313,802 | ||||||
269 | Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 30,034 | ||||||
48,455 | TE Connectivity Ltd.(a) | 6,648,995 | ||||||
1,046 | Texas Instruments, Inc. | 201,052 | ||||||
2,348 | Visa, Inc. - Class A | 523,017 | ||||||
9,600 | Xiaomi Corp. - Class B*(c) | 26,327 | ||||||
106,987 | Xilinx, Inc.(a) | 16,153,967 | ||||||
|
| |||||||
125,904,063 | ||||||||
|
| |||||||
Materials: 1.9% | ||||||||
236,758 | Cemex SAB de C.V. - ADR* | 1,697,555 | ||||||
141,016 | Ferro Corp.*(a) | 2,868,265 | ||||||
125,909 | Forterra, Inc.* | 2,966,416 | ||||||
1,291,998 | Glencore Plc | 6,122,863 | ||||||
24,301 | HeidelbergCement AG | 1,822,631 | ||||||
49,290 | Hexion Holdings Corp. - Class B* | 1,043,321 | ||||||
124,494 | Holcim Ltd. | 6,017,088 | ||||||
20,390 | International Flavors & Fragrances, Inc. | 2,726,551 | ||||||
47,482 | Kraton Corp.* | 2,167,078 | ||||||
1,960 | LyondellBasell Industries N.V. - Class A | 183,946 | ||||||
3,600 | Newmont Corp. | 195,480 | ||||||
104,351 | Recticel S.A. | 1,734,941 | ||||||
|
| |||||||
29,546,135 | ||||||||
|
| |||||||
Real Estate: 1.2% | ||||||||
712 | American Tower Corp. | 188,972 | ||||||
226,524 | Columbia Property Trust, Inc.(a) | 4,308,486 | ||||||
58,088 | Deutsche Wohnen SE | 3,559,097 | ||||||
2,292 | Gaming and Leisure Properties, Inc. | 106,165 | ||||||
4,424 | Iron Mountain, Inc. | 192,223 | ||||||
72,957 | MGM Growth Properties LLC - Class A(a) | 2,794,253 | ||||||
299,247 | Monmouth Real Estate Investment Corp.(a) | 5,580,957 | ||||||
6,185 | Omega Healthcare Investors, Inc. | 185,303 | ||||||
408 | Public Storage | 121,217 | ||||||
238,530 | Swire Pacific Ltd. - Class A | 1,418,590 | ||||||
|
| |||||||
18,455,263 | ||||||||
|
| |||||||
Special Purpose Acquisition Companies: 0.3% | ||||||||
25 | Accelerate Acquisition Corp.* | 251 | ||||||
2,368 | African Gold Acquisition Corp.* | 23,917 | ||||||
13,096 | Agile Growth Corp.* | 129,650 | ||||||
670 | Alkuri Global Acquisition Corp. - Class A* | 6,680 | ||||||
12,743 | Angel Pond Holdings Corp.* | 126,156 | ||||||
6,668 | Ares Acquisition Corp.* | 66,015 | ||||||
16,681 | Atlantic Coastal Acquisition Corp.* | 164,808 | ||||||
11,288 | Broadscale Acquisition Corp.* | 111,638 | ||||||
8,316 | Churchill Capital Corp. VII* | 82,162 | ||||||
13,902 | Colonnade Acquisition Corp. II* | 134,849 | ||||||
4,507 | COVA Acquisition Corp.* | 44,800 | ||||||
7,012 | DHC Acquisition Corp.* | 69,629 |
Shares | Value | |||||||
Special Purpose Acquisition Companies (continued) | ||||||||
972 | Digital Transformation Opportunities Corp.* | $ | 9,526 | |||||
13,902 | Disruptive Acquisition Corp. I* | 137,769 | ||||||
2 | ESM Acquisition Corp.* | 20 | ||||||
13,902 | Flame Acquisition Corp.* | 139,298 | ||||||
16,730 | Forest Road Acquisition Corp. II* | 165,414 | ||||||
6,449 | Fortress Value Acquisition Corp. IV* | 63,523 | ||||||
1,678 | FTAC Hera Acquisition Corp.* | 16,713 | ||||||
2,338 | Fusion Acquisition Corp. II* | 22,725 | ||||||
10,786 | GigCapital4, Inc.* | 106,350 | ||||||
13,945 | Glenfarne Merger Corp.* | 138,753 | ||||||
5,221 | Global Partner Acquisition Corp. II* | 51,636 | ||||||
13,902 | Golden Arrow Merger Corp.* | 137,630 | ||||||
65 | Gores Holdings VII, Inc.* | 642 | ||||||
3,177 | Gores Holdings VIII, Inc.* | 31,611 | ||||||
88 | Gores Technology Partners II, Inc.* | 880 | ||||||
8,746 | GX Acquisition Corp. II* | 86,804 | ||||||
98 | Haymaker Acquisition Corp. III* | 973 | ||||||
16,773 | Hudson Executive Investment Corp. III* | 165,214 | ||||||
11,615 | InterPrivate IV InfraTech Partners, Inc.* | 114,582 | ||||||
13,902 | Kismet Acquisition Three Corp.* | 137,213 | ||||||
16,705 | Landcadia Holdings IV, Inc.* | 167,718 | ||||||
506 | Lazard Growth Acquisition Corp. I* | 5,019 | ||||||
1,510 | Lead Edge Growth Opportunities Ltd.* | 15,085 | ||||||
10,143 | Mason Industrial Technology, Inc.* | 100,923 | ||||||
8,259 | Mission Advancement Corp.* | 81,723 | ||||||
940 | Monument Circle Acquisition Corp.* | 9,475 | ||||||
7,430 | Northern Star Investment Corp. III* | 73,260 | ||||||
5,739 | Northern Star Investment Corp. IV* | 56,587 | ||||||
3,367 | Orion Acquisition Corp.* | 33,266 | ||||||
7,873 | Peridot Acquisition Corp. II* | 77,628 | ||||||
13,031 | Pine Technology Acquisition Corp.* | 129,267 | ||||||
13,079 | Plum Acquisition Corp. I* | 128,305 | ||||||
3,118 | Ross Acquisition Corp. II* | 31,055 | ||||||
133 | RXR Acquisition Corp.* | 1,310 | ||||||
1,763 | Silver Spike Acquisition Corp. II* | 17,718 | ||||||
9,637 | Slam Corp.* | 95,503 | ||||||
9,063 | Stratim Cloud Acquisition Corp.* | 90,086 | ||||||
1,601 | TCW Special Purpose Acquisition Corp.* | 15,770 | ||||||
3,992 | Tio Tech A* | 39,561 | ||||||
16,730 | TLG Acquisition One Corp.* | 166,045 | ||||||
13,335 | Twelve Seas Investment Co. II* | 132,016 | ||||||
|
| |||||||
3,955,151 | ||||||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Utilities: 0.6% | ||||||||
6,635 | Duke Energy Corp. | $ | 647,509 | |||||
92,560 | FirstEnergy Corp. | 3,296,987 | ||||||
200,775 | PG&E Corp.* | 1,927,440 | ||||||
3,073 | Southern Co. (The) | 190,434 | ||||||
151,381 | Suez S.A. | 3,450,169 | ||||||
|
| |||||||
9,512,539 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 470,004,525 | ||||||
|
| |||||||
RIGHTS/WARRANTS: 0.0% | ||||||||
167 | Alkuri Global Acquisition Corp. (Expiration date 01/01/28)* | 237 | ||||||
145 | Artisan Acquisition Corp. (Expiration date 12/31/28)* | 165 | ||||||
1,333 | Athena Technology Acquisition Corp. (Expiration date 03/31/28)* | 1,813 | ||||||
41,411 | CA Immobilien Anlagen AG (Expiration date 07/26/21)* | 0 | ||||||
64,680 | Cie Financiere Richemont S.A. (Expiration date 11/22/23)* | 30,472 | ||||||
3,595 | GigCapital4, Inc. (Expiration date 12/31/28)* | 3,775 | ||||||
92,173 | Lightning eMotors, Inc. (Expiration date 05/18/25)* | 148,399 | ||||||
1,275 | NextGen Acquisition Corp. II (Expiration date 03/31/27)* | 2,142 | ||||||
367 | Queen’s Gambit Growth Capital (Expiration date 12/31/27)* | 308 | ||||||
3 | Reinvent Technology Partners Y (Expiration date 12/31/28)* | 4 | ||||||
2,045 | UpHealth, Inc. (Expiration date 06/08/26)* | 941 | ||||||
|
| |||||||
| TOTAL RIGHTS/WARRANTS | 188,256 | ||||||
|
| |||||||
PREFERRED STOCKS: 0.4% | ||||||||
Consumer Staples: 0.1% | ||||||||
Bunge Ltd. | ||||||||
12,851 | 4.875%, 03/01/2069(d) | 1,541,477 | ||||||
|
| |||||||
Energy: 0.0% | ||||||||
El Paso Energy Capital Trust I | ||||||||
528 | 4.750%, 03/31/2028 | 26,162 | ||||||
Gulfport Energy Operating Corp. | ||||||||
18 | 10.000%, 11/01/2021(b)(d)(e) | 9,090 | ||||||
|
| |||||||
35,252 | ||||||||
|
| |||||||
Financials: 0.2% | ||||||||
2020 Cash Mandatory Exchangeable Trust | ||||||||
546 | 5.250%, 06/01/2023(c) | 618,766 | ||||||
Bank of America Corp. | ||||||||
679 | 7.250%, 02/01/2070(d) | 979,403 |
Shares | Value | |||||||
Financials (continued) | ||||||||
Wells Fargo & Co. | ||||||||
891 | 7.500%, 12/15/2069(d) | $ | 1,320,462 | |||||
|
| |||||||
2,918,631 | ||||||||
|
| |||||||
Industrials: 0.1% | ||||||||
Clarivate Plc - Series A | ||||||||
6,435 | 5.250%, 06/01/2024 | 557,850 | ||||||
Element Communication Aviation | ||||||||
170 | 12.000%, 03/16/2040(b) | 217,124 | ||||||
McDermott International Ltd. - (Preference Shares) (b) | ||||||||
328 | 196,916 | |||||||
|
| |||||||
971,890 | ||||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 5,467,250 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 9.7% | ||||||||
Accelerated Assets LLC | ||||||||
$152,686 | Series 2018-1-B | 157,660 | ||||||
Adams Outdoor Advertising L.P. | ||||||||
869,232 | Series 2018-1-A | 916,941 | ||||||
Affirm Asset Securitization Trust | ||||||||
205,000 | Series 2021-A-C | 206,065 | ||||||
AGL CLO 3 Ltd. | ||||||||
320,000 | Series 2020-3A-C | 320,363 | ||||||
470,000 | Series 2020-3A-D | 470,886 | ||||||
AIM Aviation Finance Ltd. | ||||||||
637,452 | Series 2015-1A-B1 | 250,439 | ||||||
Aimco CLO 14 Ltd. | ||||||||
1,010,000 | Series 2021-14A-D | 1,002,199 | ||||||
American Credit Acceptance Receivables Trust | ||||||||
670,000 | Series 2020-3-D | 688,655 | ||||||
615,000 | Series 2020-4-D | 624,142 | ||||||
American Homes 4 Rent | ||||||||
875,000 | Series 2014-SFR2-E | 961,354 | ||||||
600,000 | Series 2014-SFR3-E | 665,044 | ||||||
845,000 | Series 2015-SFR1-E | 927,467 | ||||||
AMSR Trust | ||||||||
1,800,000 | Series 2020-SFR5-G | 1,829,597 | ||||||
5,000,000 | Series 2021-SFR1-G | 5,149,661 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Apidos CLO XX | ||||||||
$265,000 | Series 2015-20A-BRR | $ | 265,080 | |||||
Apidos CLO XXI | ||||||||
500,000 | Series 2015-21A-ER | 474,104 | ||||||
Apidos CLO XXIII | ||||||||
855,000 | Series 2015-23A-CR | 856,585 | ||||||
Apidos CLO XXIV | ||||||||
1,000,000 | Series 2016-24A-DR | 949,099 | ||||||
Arbys Funding LLC | ||||||||
252,450 | Series 2020-1A-A2 | 263,078 | ||||||
Ascentium Equipment Receivables Trust | ||||||||
95,000 | Series 2017-2A-C | 95,380 | ||||||
Atrium XIII | ||||||||
500,000 | Series 13A-E | 495,222 | ||||||
Atrium XIV LLC | ||||||||
750,000 | Series 14A-E | 736,904 | ||||||
Avid Automobile Receivables Trust | ||||||||
180,000 | Series 2019-1-C | 184,449 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
215,000 | Series 2020-2A-B | 227,030 | ||||||
355,000 | Series 2020-2A-C | 385,022 | ||||||
Barings CLO Ltd. | ||||||||
1,000,000 | Series 2018-3A-E | 970,117 | ||||||
500,000 | Series 2018-4A-E | 493,145 | ||||||
1,100,000 | Series 2019-4A-C | 1,102,245 | ||||||
Battalion CLO XIV Ltd. | ||||||||
250,000 | Series 2019-14A-E | 250,275 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. | ||||||||
249,722 | Series 2016-1A-A | 251,150 | ||||||
Brex Commercial Charge Card Master Trust | ||||||||
165,000 | Series 2021-1-A | 166,822 |
Principal Amount^ | Value | |||||||
Bristol Park CLO Ltd. | ||||||||
$260,000 | Series 2016-1A-CR | $ | 260,066 | |||||
Buttermilk Park CLO Ltd. | ||||||||
750,000 | Series 2018-1A-E | 733,949 | ||||||
California Republic Auto Receivables Trust | ||||||||
520,000 | Series 2018-1-D | 535,485 | ||||||
Canyon Capital CLO Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER | 956,282 | ||||||
500,000 | Series 2018-1A-E | 479,281 | ||||||
1,000,000 | Series 2021-4A-E | 1,000,450 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
500,000 | Series 2014-2RA-D | 458,874 | ||||||
Carlyle US CLO Ltd. | ||||||||
500,000 | Series 2021-1A-D | 493,541 | ||||||
CarMax Auto Owner Trust | ||||||||
305,000 | Series 2018-4-D | 317,351 | ||||||
Carvana Auto Receivables Trust | ||||||||
3,000 | Series 2021-N1-R | 1,582,685 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
4,046,031 | Series 2018-1-C | 3,238,147 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
392,093 | Series 2017-1R-B | 392,699 | ||||||
3,000,000 | Series 2019-1A-E | 930,000 | ||||||
1,260,966 | Series 2021-1A-A | 1,305,179 | ||||||
Catskill Park CLO Ltd. | ||||||||
1,000,000 | Series 2017-1A-D | 994,888 | ||||||
Chenango Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-D | 494,195 | ||||||
CIFC Funding Ltd. | ||||||||
205,000 | Series 2013-2A-A3LR | 205,026 | ||||||
500,000 | Series 2017-4A-D | 494,807 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
880,908 | Series 2019-E-A1 | 883,172 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
CLI Funding VIII LLC | ||||||||
$1,186,770 | Series 2021-1A-A | $ | 1,172,459 | |||||
Cook Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E | 983,284 | ||||||
Corevest American Finance Trust | ||||||||
305,000 | Series 2020-4-C | 299,855 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
605,000 | Series 2020-1A-C | 621,627 | ||||||
275,000 | Series 2020-3A-C | 280,803 | ||||||
CSAB Mortgage-Backed Trust | ||||||||
1,857,684 | Series 2006-2-A6B | 273,089 | ||||||
DB Master Finance LLC | ||||||||
570,360 | Series 2019-1A-A23 | 621,490 | ||||||
Dell Equipment Finance Trust | ||||||||
200,000 | Series 2020-2-D | 203,870 | ||||||
Diamond Resorts Owner Trust | ||||||||
53,507 | Series 2017-1A-C | 54,187 | ||||||
220,734 | Series 2018-1-C | 226,785 | ||||||
167,426 | Series 2019-1A-B | 172,135 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
709,275 | Series 2017-1A-A23 | 764,305 | ||||||
612,675 | Series 2018-1A-A2II | 664,323 | ||||||
492,500 | Series 2019-1A-A2 | 530,836 | ||||||
728,175 | Series 2021-1A-A2I | 751,465 | ||||||
Dorchester Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER | 497,760 | ||||||
Dryden 40 Senior Loan Fund | ||||||||
1,000,000 | Series 2015-40A-ER | 984,778 | ||||||
Dryden 45 Senior Loan Fund | ||||||||
275,000 | Series 2016-45A-ER | 270,525 | ||||||
Dryden 55 CLO Ltd. | ||||||||
500,000 | Series 2018-55A-F | 475,928 | ||||||
DT Auto Owner Trust | ||||||||
270,000 | Series 2020-3A-D | 274,847 | ||||||
Education Funding Trust | ||||||||
467,025 | Series 2020-A-A | 478,355 |
Principal Amount^ | Value | |||||||
Exeter Automobile Receivables Trust | ||||||||
$305,000 | Series 2020-2A-D | $ | 324,203 | |||||
Fillmore Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-E | 492,429 | ||||||
First Investors Auto Owner Trust | ||||||||
160,000 | Series 2019-2A-D | 163,903 | ||||||
365,000 | Series 2019-2A-E | 376,077 | ||||||
FirstKey Homes Trust | ||||||||
775,000 | Series 2020-SFR1-F1 | 793,725 | ||||||
1,010,000 | Series 2020-SFR2-F1 | 1,027,794 | ||||||
Flagship Credit Auto Trust | ||||||||
595,000 | Series 2020-1-D | 611,239 | ||||||
Galaxy XXVI CLO Ltd. | ||||||||
715,000 | Series 2018-26A-E | 706,992 | ||||||
Gilbert Park CLO Ltd. | ||||||||
500,000 | Series 2017-1A-E | 500,201 | ||||||
Global Container Assets 2014 Holdings Ltd. | ||||||||
1,185,000 | Series 2014-1-E | 16,026 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
1,135,000 | Series 2020-3A-C | 1,153,589 | ||||||
Goldentree Loan Management US CLO 3 Ltd. | ||||||||
500,000 | Series 2018-3A-D | 499,559 | ||||||
GSAA Home Equity Trust | ||||||||
581,570 | Series 2006-10-AF5 | 237,692 | ||||||
Hardee’s Funding LLC | ||||||||
267,975 | Series 2020-1A-A2 | 285,057 | ||||||
Highbridge Loan Management Ltd. | ||||||||
500,000 | Series 2013-2A-DR | 483,135 | ||||||
Hilton Grand Vacations Trust | ||||||||
93,463 | Series 2018-AA-C | 97,292 | ||||||
Horizon Aircraft Finance I Ltd. | ||||||||
2,853,633 | Series 2018-1-C | 2,323,879 | ||||||
HPEFS Equipment Trust | ||||||||
265,000 | Series 2020-1A-D | 270,582 | ||||||
HPS Loan Management Ltd. | ||||||||
2,000,000 | Series 6A-2015-DR | 1,875,482 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Kestrel Aircraft Funding Ltd. | ||||||||
$504,572 | Series 2018-1A-A | $ | 502,692 | |||||
LCM 26 Ltd. | ||||||||
500,000 | Series 26A-E | 461,197 | ||||||
LCM Loan Income Fund I Income Note Issuer Ltd. | ||||||||
500,000 | Series 27A-E | 460,597 | ||||||
LCM XVII L.P. | ||||||||
1,000,000 | Series 17A-ER | 934,355 | ||||||
LCM XX L.P. | ||||||||
500,000 | Series 20A-ER | 489,435 | ||||||
Legacy Mortgage Asset Trust | ||||||||
461,815 | Series 2019-GS4-A1 | 462,736 | ||||||
Lehman XS Trust | ||||||||
2,152,323 | Series 2005-6-3A3A | 1,351,084 | ||||||
8,374 | Series 2006-8-3A3 | 15,272 | ||||||
Madison Park Funding XIV Ltd. | ||||||||
1,000,000 | Series 2014-14A-ER | 977,417 | ||||||
Madison Park Funding XXII Ltd. | ||||||||
1,000,000 | Series 2016-22A-ER | 999,032 | ||||||
Madison Park Funding XXVI Ltd. | ||||||||
445,000 | Series 2007-4A-DR | 443,692 | ||||||
Madison Park Funding XXX Ltd. | ||||||||
395,000 | Series 2018-30A-D | 392,426 | ||||||
Madison Park Funding XXXI Ltd. | ||||||||
270,000 | Series 2018-31A-C | 270,055 | ||||||
Madison Park Funding XXXVIII Ltd. | ||||||||
500,000 | Series 2021-38A-E | 493,900 | ||||||
MAPS Ltd. | ||||||||
506,206 | Series 2018-1A-A | 511,262 | ||||||
263,578 | Series 2019-1A-A | 266,827 | ||||||
Mercury Financial Credit Card Master Trust | ||||||||
260,000 | Series 2021-1A-B | 260,255 |
Principal Amount^ | Value | |||||||
Milos CLO Ltd. | ||||||||
$500,000 | Series 2017-1A-ER | $ | 495,380 | |||||
Mosaic Solar Loans LLC | ||||||||
1,235,261 | Series 2017-2A-B | 1,331,145 | ||||||
MVW LLC | ||||||||
67,595 | Series 2020-1A-C | 71,094 | ||||||
MVW Owner Trust | ||||||||
66,752 | Series 2019-1A-C | 68,197 | ||||||
483,021 | Series 2021-1WA-D | 484,948 | ||||||
Myers Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E | 986,946 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
260,000 | Series 2018-A-B | 266,197 | ||||||
855,000 | Series 2019-FA-B | 879,028 | ||||||
180,000 | Series 2019-GA-B | 185,472 | ||||||
320,000 | Series 2020-FA-B | 329,839 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
500,000 | Series 2017-16SA-ER | 500,972 | ||||||
Neuberger Berman CLO XXIII Ltd. | ||||||||
1,000,000 | Series 2016-23A-ER | 997,804 | ||||||
Neuberger Berman Loan Advisers CLO 24 Ltd. | ||||||||
1,000,000 | Series 2017-24A-E | 993,797 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd. | ||||||||
1,000,000 | Series 2017-26A-INC | 727,007 | ||||||
Neuberger Berman Loan Advisers CLO 37 Ltd. | ||||||||
500,000 | Series 2020-37A-ER | 500,230 | ||||||
Neuberger Berman Loan Advisers CLO 42 Ltd. | ||||||||
500,000 | Series 2021-42A-E | 499,442 | ||||||
Octagon Investment Partners 26 Ltd. | ||||||||
1,000,000 | Series 2016-1A-FR | 933,808 | ||||||
Octagon Investment Partners 29 Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER | 1,001,287 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Octagon Investment Partners 39 Ltd. | ||||||||
$275,000 | Series 2018-3A-E | $ | 270,637 | |||||
Octagon Investment Partners 40 Ltd. | ||||||||
500,000 | Series 2019-1A-E | 495,536 | ||||||
Octagon Investment Partners XVI Ltd. | ||||||||
1,000,000 | Series 2013-1A-ER | 963,905 | ||||||
1,500,000 | Series 2013-1A-SUB | 375,416 | ||||||
Octagon Investment Partners XXI Ltd. | ||||||||
500,000 | Series 2014-1A-DRR | 496,437 | ||||||
Octagon Investment Partners XXII Ltd. | ||||||||
835,000 | Series 2014-1A-CRR | 835,104 | ||||||
OHA Credit Funding 3 Ltd. | ||||||||
500,000 | Series 2019-3A-ER | 500,221 | ||||||
OHA Credit Funding 5 Ltd. | ||||||||
475,000 | Series 2020-5A-C | 476,047 | ||||||
OneMain Financial Issuance Trust | ||||||||
675,000 | Series 2015-3A-B | 676,025 | ||||||
290,000 | Series 2020-1A-B | 302,206 | ||||||
265,000 | Series 2020-2A-C | 273,022 | ||||||
OZLM XXIII Ltd. | ||||||||
255,000 | Series 2019-23A-DR | 255,355 | ||||||
Palmer Square CLO Ltd. | ||||||||
260,000 | Series 2015-2A-BR2 | 260,075 | ||||||
Parallel Ltd. | ||||||||
700,000 | Series 2017-1A-CR | 691,390 | ||||||
1,005,000 | Series 2018-2A-B | 988,291 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
766,350 | Series 2019-1A-A2 | 780,193 | ||||||
PNMAC FMSR Issuer Trust | ||||||||
7,300,000 | Series 2018-FT1-A | 7,317,120 |
Principal Amount^ | Value | |||||||
Prestige Auto Receivables Trust | ||||||||
$330,000 | Series 2019-1A-E | $ | 338,700 | |||||
210,000 | Series 2020-1A-E | 216,489 | ||||||
Progress Residential Trust | ||||||||
630,000 | Series 2019-SFR1-E | 637,104 | ||||||
235,000 | Series 2019-SFR3-D | 237,566 | ||||||
255,000 | Series 2020-SFR3-F | 255,780 | ||||||
140,000 | Series 2021-SFR1-F | 139,375 | ||||||
170,000 | Series 2021-SFR2-E2 | 170,652 | ||||||
7,000,000 | Series 2021-SFR2-G | 7,049,951 | ||||||
355,000 | Series 2021-SFR3-F | 358,430 | ||||||
735,000 | Series 2021-SFR4-F | 739,358 | ||||||
250,000 | Series 2021-SFR5-F | 249,011 | ||||||
125,000 | Series 2021-SFR6-E2 | 125,016 | ||||||
835,000 | Series 2021-SFR7-F | 826,760 | ||||||
Republic FInance Issuance Trust | ||||||||
1,000,000 | Series 2019-A-A | 1,008,823 | ||||||
Rockford Tower CLO Ltd. | ||||||||
700,000 | Series 2017-2A-CR | 700,155 | ||||||
RR 2 Ltd. | ||||||||
500,000 | Series 2017-2A-DR | 496,474 | ||||||
RR 6 Ltd. | ||||||||
500,000 | Series 2019-6A-DR | 498,357 | ||||||
S-Jets Ltd. | ||||||||
1,062,292 | Series 2017-1-A | 1,055,648 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
890,000 | Series 2020-1-D | 963,779 | ||||||
300,000 | Series 2020-2-D | 306,016 | ||||||
SCF Equipment Leasing LLC | ||||||||
295,000 | Series 2021-1A-E | 292,578 | ||||||
Sierra Timeshare Receivables Funding LLC | ||||||||
314,048 | Series 2020-2A-C | 322,607 | ||||||
Slam Ltd. | ||||||||
251,022 | Series 2021-1A-B | 254,906 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
SLM Private Credit Student Loan Trust | ||||||||
$195,000 | Series 2003-A-A3 | $ | 195,559 | |||||
531,000 | Series 2003-B-A3 | 532,591 | ||||||
50,000 | Series 2003-B-A4 | 50,150 | ||||||
SoFi Consumer Loan Program Trust | ||||||||
117,945 | Series 2018-2-B | 118,638 | ||||||
380,000 | Series 2019-4-C | 388,408 | ||||||
SoFi Professional Loan Program LLC | ||||||||
101,620 | Series 2016-A-B | 102,426 | ||||||
133,000 | Series 2017-F-R1 | 3,464,826 | ||||||
63,038 | Series 2019-B-R1 | 1,163,066 | ||||||
SoFi Professional Loan Program Trust | ||||||||
360,000 | Series 2020-A-BFX | 371,279 | ||||||
45,000 | Series 2020-A-R1 | 2,138,865 | ||||||
SpringCastle America Funding LLC | ||||||||
702,332 | Series 2020-AA-A | 709,168 | ||||||
Sprite Ltd. | ||||||||
2,504,528 | Series 2017-1-A | 2,491,756 | ||||||
292,457 | Series 2017-1-B | 262,374 | ||||||
Stewart Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER | 484,323 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
102,073 | Series 2020-1A-A | 103,631 | ||||||
572,000 | Series 2021-1A-A | 564,402 | ||||||
228,800 | Series 2021-1A-B | 227,549 | ||||||
THL Credit Wind River CLO Ltd. | ||||||||
2,000,000 | Series 2014-2A-INC | 639,664 | ||||||
500,000 | Series 2017-3A-ER | 500,300 | ||||||
500,000 | Series 2018-2A-E | 484,619 | ||||||
TICP CLO VII Ltd. | ||||||||
280,000 | Series 2017-7A-CR | 280,534 |
Principal Amount^ | Value | |||||||
TICP CLO XV Ltd. | ||||||||
$250,000 | Series 2020-15A-C | $ | 250,444 | |||||
Towd Point Mortgage Trust | ||||||||
310,000 | Series 2018-5-M1 | 323,735 | ||||||
385,000 | Series 2019-2-M1 | 406,168 | ||||||
Trestles CLO II Ltd. | ||||||||
335,000 | Series 2018-2A-D | 328,121 | ||||||
Tricon American Homes | ||||||||
250,000 | Series 2020-SFR1-E | 258,734 | ||||||
Tricon American Homes Trust | ||||||||
290,000 | Series 2020-SFR2-E1 | 288,089 | ||||||
Tryon Park CLO Ltd. | ||||||||
1,000,000 | Series 2013-1A-DR | 997,432 | ||||||
Upstart Pass-Through Trust | ||||||||
1,000,000 | Series 2021-ST8 | 1,252,123 | ||||||
Upstart Securitization Trust | ||||||||
1,000 | Series 2021-2-CERT | 836,805 | ||||||
VOLT XCII LLC | ||||||||
3,000,000 | Series 2021-NPL1-A2 | 2,999,776 | ||||||
VOLT XCIII LLC | ||||||||
742,646 | Series 2021-NPL2-A1 | 745,702 | ||||||
VOLT XCIV LLC | ||||||||
675,000 | Series 2021-NPL3-A2 | 675,822 | ||||||
VOLT XCVI LLC | ||||||||
345,000 | Series 2021-NPL5-A2 | 345,245 | ||||||
Voya CLO Ltd. | ||||||||
500,000 | Series 2018-2A-E | 465,005 | ||||||
500,000 | Series 2019-1A-ER | 494,848 | ||||||
WAVE Trust | ||||||||
524,621 | Series 2017-1A-A | 519,431 | ||||||
Webster Park CLO Ltd. | ||||||||
1,000,000 | Series 2015-1A-DR | 987,157 | ||||||
Wendy’s Funding LLC | ||||||||
1,015,438 | Series 2018-1A-A2II | 1,077,734 | ||||||
177,175 | Series 2019-1A-A2II | 191,849 | ||||||
Westlake Automobile Receivables Trust | ||||||||
390,000 | Series 2020-3A-D | 395,897 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Willis Engine Structured Trust | ||||||||
$228,433 | Series 2020-A-A | $ | 227,292 | |||||
1,935,990 | Series 2021-A-C | 1,951,035 | ||||||
Wind River CLO Ltd. | ||||||||
500,000 | Series 2021-2A-E | 493,841 | ||||||
York CLO Ltd. | ||||||||
1,783,000 | Series 2019-1A-D | 1,783,997 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 148,249,571 | ||||||
|
| |||||||
BANK LOANS: 2.3% | ||||||||
AAdvantage Loyalty IP Ltd. | ||||||||
225,000 | 5.500%, 04/20/2028(f) | 232,921 | ||||||
Aegion Corp. | ||||||||
180,000 | 5.500%, 05/17/2028(f) | 181,575 | ||||||
Air Canada | ||||||||
290,000 | 4.250%, 08/11/2028(f) | 291,570 | ||||||
Air Methods Corp. | ||||||||
1,167,564 | 4.500%, 04/22/2024(f) | 1,159,899 | ||||||
American Tire Distributors Holdings, Inc. | ||||||||
1,133,884 | 8.500%, 09/02/2024(f) | 1,135,216 | ||||||
AmWINS Group, Inc. | ||||||||
133,684 | 3.000%, 02/19/2028(f) | 133,016 | ||||||
Applied Systems, Inc. | ||||||||
1,060,000 | 6.250%, 09/19/2025(f) | 1,077,601 | ||||||
Asurion LLC | ||||||||
160,000 | 5.334%, 01/31/2028(f) | 159,734 | ||||||
Atlas Purchaser, Inc. | ||||||||
538,650 | 6.000%, 05/08/2028(f) | 532,814 | ||||||
BJ Services LLC | ||||||||
682,031 | 8.500%, 01/03/2023(b)(f) | 647,929 | ||||||
Blackhawk Network Holdings, Inc. | ||||||||
125,000 | 7.125%, 06/15/2026(f) | 124,583 | ||||||
Bright Bidco B.V. | ||||||||
865,963 | 4.500%, 06/30/2024(f) | 692,229 | ||||||
Cengage Learning, Inc. | ||||||||
405,000 | 5.750%, 06/29/2026(f) | 408,153 | ||||||
ClubCorp Holdings, Inc. | ||||||||
147,989 | 2.882%, 09/18/2024(f) | 139,439 |
Principal Amount^ | Value | |||||||
Constant Contact, Inc. | ||||||||
$1,260,000 | 8.250%, 02/10/2029(f) | $ | 1,247,400 | |||||
CoreLogic, Inc. | ||||||||
545,000 | 4.000%, 06/02/2028(f) | 545,114 | ||||||
Curium BidCo S.A R.L. | ||||||||
405,000 | 8.500%, 10/27/2028(f) | 411,836 | ||||||
Cvent, Inc. | ||||||||
1,233,411 | 3.834%, 11/29/2024(f) | 1,230,235 | ||||||
Cyxtera DC Holdings, Inc. | ||||||||
466,168 | 4.000%, 05/01/2024(f) | 463,504 | ||||||
DCert Buyer, Inc. | ||||||||
485,000 | 7.084%, 02/16/2029(f) | 490,607 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
420,000 | 7.500%, 03/30/2029(f) | 423,150 | ||||||
DirecTV Financing LLC | ||||||||
775,000 | 5.750%, 07/22/2027(f) | 776,372 | ||||||
Envision Healthcare Corp. | ||||||||
683,709 | 3.834%, 10/10/2025(f) | 610,484 | ||||||
824,230 | 7.000%, 10/10/2025(f) | 701,280 | ||||||
Finastra USA, Inc. | ||||||||
458,965 | 4.500%, 06/13/2024(f) | 455,920 | ||||||
405,000 | 8.250%, 06/13/2025(f) | 408,222 | ||||||
Flexential Intermediate Corp. | ||||||||
435,918 | 3.647%, 08/01/2024(f) | 406,766 | ||||||
Gainwell Acquisition Corp. | ||||||||
735,843 | 4.750%, 10/01/2027(f) | 738,602 | ||||||
Global Medical Response, Inc. | ||||||||
244,911 | 5.250%, 03/14/2025(f) | 246,166 | ||||||
GOGO Intermediate Holdings LLC | ||||||||
219,450 | 4.500%, 04/30/2028(f) | 220,022 | ||||||
Grab Holdings, Inc. | ||||||||
636,800 | 5.500%, 01/29/2026(f) | 645,289 | ||||||
Gulf Finance LLC | ||||||||
520,142 | 6.250%, 08/25/2023(f) | 501,448 | ||||||
Hilton Grand Vacations Borrower LLC | ||||||||
335,000 | 3.500%, 08/02/2028(f) | 336,173 | ||||||
ION Trading Finance Ltd. | ||||||||
374,063 | 4.917%, 04/01/2028(f) | 375,280 | ||||||
Ivanti Software, Inc. | ||||||||
318,400 | 5.750%, 12/01/2027(f) | 319,868 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Jazz Financing Lux S.A.R.L. | ||||||||
$279,300 | 4.000%, 05/05/2028(f) | $ | 280,000 | |||||
Kenan Advantage Group, Inc. | ||||||||
220,000 | 8.000%, 09/01/2027(f) | 218,625 | ||||||
Lealand Finance Company B.V. | ||||||||
108,191 | 0.000%, 06/28/2024(i) | 68,160 | ||||||
956,546 | 0.000%, 06/30/2024(i) | 602,624 | ||||||
68,263 | 0.000%, 06/30/2024(i) | 40,958 | ||||||
21,355 | 3.084%, 06/30/2024(f) | 12,813 | ||||||
581,126 | 4.145%, 06/30/2024(f) | 366,109 | ||||||
904,010 | 0.000%, 06/30/2025(i) | 414,940 | ||||||
411,713 | 4.084%, 06/30/2025(f) | 188,977 | ||||||
McDermott Technology Americas, Inc. | ||||||||
311,809 | 0.000%, 05/10/2023(b)(i) | 180,849 | ||||||
1,614,796 | 0.000%, 06/28/2024(b)(i) | 936,582 | ||||||
Mediaco Holding, Inc. | ||||||||
2,107,325 | 9.400%, 11/21/2024(b)(f) | 1,959,812 | ||||||
Medline Industries, Inc. | ||||||||
265,000 | 0.000%, 09/20/2028(i) | 264,585 | ||||||
Minotaur Acquisition, Inc. | ||||||||
1,070,301 | 4.834%, 03/27/2026(f) | 1,066,378 | ||||||
Mitchell International, Inc. | ||||||||
845,000 | 7.334%, 12/01/2025(f) | 846,360 | ||||||
MLN U.S. Holding Co. LLC | ||||||||
462,451 | 4.583%, 11/30/2025(f) | 421,864 | ||||||
Motel 6 | ||||||||
135,000 | 5.750%, 09/09/2026(f) | 135,844 | ||||||
OneDigital Borrower LLC | ||||||||
773,063 | 5.250%, 11/16/2027(f) | 777,252 | ||||||
Playtika Holding Corp. | ||||||||
686,550 | 2.834%, 03/13/2028(f) | 687,134 | ||||||
Riverbed Technology, Inc. | ||||||||
694,750 | 7.000%, 12/31/2025(f) | 625,275 | ||||||
Solenis Holdings LLC | ||||||||
170,000 | 8.584%, 06/26/2026(f) | 170,320 | ||||||
Sweetwater Borrower LLC | ||||||||
340,000 | 5.500%, 08/07/2028(f) | 339,788 | ||||||
Team Health Holdings, Inc. | ||||||||
827,667 | 3.750%, 02/06/2024(f) | 809,044 | ||||||
Tibco Software, Inc. | ||||||||
390,000 | 7.340%, 03/03/2028(f) | 394,972 | ||||||
Travel Leaders Group LLC | ||||||||
955,949 | 4.084%, 01/25/2024(f) | 897,397 |
Principal Amount^ | Value | |||||||
Travelport Finance (Luxembourg) S.A.R.L. | ||||||||
$837,700 | 10.000%, 02/28/2025(f) | $ | 871,057 | |||||
309,991 | 7.750%, 05/29/2026(f) | 267,755 | ||||||
United Airlines, Inc. | ||||||||
313,425 | 4.500%, 04/21/2028(f) | 316,293 | ||||||
Vantage Specialty Chemicals, Inc. | ||||||||
994,598 | 4.500%, 10/28/2024(f) | 977,710 | ||||||
Viad Corp. | ||||||||
380,000 | 5.500%, 07/30/2028(f) | 380,000 | ||||||
Waterbridge Midstream Operating LLC | ||||||||
669,873 | 6.750%, 06/22/2026(f) | 654,322 | ||||||
Weber-Stephen Products LLC | ||||||||
224,516 | 4.000%, 10/30/2027(f) | 225,273 | ||||||
Western Digital Corp. | ||||||||
372,450 | 1.838%, 04/29/2023(f) | 372,954 | ||||||
Ziggo B.V. | ||||||||
| 490,000 (EUR) | | 3.000%, 01/31/2029(f) | 562,086 | ||||
|
| |||||||
| TOTAL BANK LOANS | 35,804,529 | ||||||
|
| |||||||
CONVERTIBLE BONDS: 1.5% | ||||||||
Communications: 0.5% | ||||||||
DISH Network Corp. | ||||||||
210,000 | 0.000%, 12/15/2025(c)(j) | 252,000 | ||||||
3,880,000 | 3.375%, 08/15/2026 | 4,042,960 | ||||||
Expedia Group, Inc. | ||||||||
270,000 | 0.000%, 02/15/2026(c)(j) | 292,856 | ||||||
Palo Alto Networks, Inc. | ||||||||
935,000 | 0.375%, 06/01/2025 | 1,548,429 | ||||||
Twitter, Inc. | ||||||||
420,000 | 0.000%, 03/15/2026(c)(j) | 392,003 | ||||||
Uber Technologies, Inc. | ||||||||
380,000 | 0.000%, 12/15/2025(c)(j) | 371,499 | ||||||
|
| |||||||
6,899,747 | ||||||||
|
| |||||||
Consumer, Cyclical: 0.3% | ||||||||
Cineplex, Inc. | ||||||||
| 1,041,000 (CAD) | | 5.750%, 09/30/2025(c) | 1,080,438 | ||||
JetBlue Airways Corp. | ||||||||
195,000 | 0.500%, 04/01/2026(c) | 192,044 | ||||||
Lightning eMotors, Inc. | ||||||||
1,060,000 | 7.500%, 05/15/2024(c) | 915,703 | ||||||
Peloton Interactive, Inc. | ||||||||
300,000 | 0.000%, 02/15/2026(c)(j) | 265,586 | ||||||
Penn National Gaming, Inc. | ||||||||
90,000 | 2.750%, 05/15/2026 | 288,090 | ||||||
Southwest Airlines Co. | ||||||||
995,000 | 1.250%, 05/01/2025 | 1,490,012 | ||||||
|
| |||||||
4,231,873 | ||||||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CONVERTIBLE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical: 0.6% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
$2,595,000 | 1.250%, 05/15/2027 | $ | 2,610,112 | |||||
Dermira, Inc. | ||||||||
3,806,000 | 3.000%, 05/15/2022 | 3,858,332 | ||||||
Guardant Health, Inc. | ||||||||
215,000 | 0.000%, 11/15/2027(c)(j) | 247,250 | ||||||
Ionis Pharmaceuticals, Inc. | ||||||||
270,000 | 0.000%, 04/01/2026(c)(j) | 246,709 | ||||||
Livongo Health, Inc. | ||||||||
235,000 | 0.875%, 06/01/2025 | 310,853 | ||||||
Teladoc Health, Inc. | ||||||||
1,325,000 | 1.250%, 06/01/2027 | 1,337,503 | ||||||
UpHealth, Inc. | ||||||||
1,509,000 | 6.250%, 06/15/2026(c) | 1,209,132 | ||||||
|
| |||||||
9,819,891 | ||||||||
|
| |||||||
Technology: 0.1% | ||||||||
Kaleyra, Inc. | ||||||||
1,424,000 | 6.125%, 06/01/2026(c) | 1,492,339 | ||||||
Splunk, Inc. | ||||||||
475,000 | 1.125%, 06/15/2027 | 468,172 | ||||||
Zynga, Inc. | ||||||||
95,000 | 0.000%, 12/15/2026(c)(j) | 92,209 | ||||||
|
| |||||||
2,052,720 | ||||||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 23,004,231 | ||||||
|
| |||||||
CORPORATE BONDS: 27.7% | ||||||||
Basic Materials: 1.3% | ||||||||
ABJA Investment Co. Pte Ltd. | ||||||||
210,000 | 5.450%, 01/24/2028 | 229,380 | ||||||
Alcoa Nederland Holding B.V. | ||||||||
2,146,000 | 5.500%, 12/15/2027(c) | 2,306,263 | ||||||
Alpek SAB de C.V. | ||||||||
200,000 | 3.250%, 02/25/2031(c) | 202,371 | ||||||
Ashland LLC | ||||||||
745,000 | 3.375%, 09/01/2031(c) | 752,934 | ||||||
Braskem Idesa SAPI | ||||||||
200,000 | 7.450%, 11/15/2029 | 212,371 | ||||||
Braskem Netherlands Finance B.V. | ||||||||
800,000 | 4.500%, 01/31/2030(c) | 851,200 | ||||||
200,000 | 5.875%, 01/31/2050 | 227,750 | ||||||
200,000 | 5.875%, 01/31/2050(c) | 227,750 | ||||||
Cia de Minas Buenaventura S.A.A. | ||||||||
660,000 | 5.500%, 07/23/2026(c) | 653,354 | ||||||
Eldorado Gold Corp. | ||||||||
120,000 | 6.250%, 09/01/2029(c) | 118,792 | ||||||
First Quantum Minerals Ltd. | ||||||||
600,000 | 7.500%, 04/01/2025(c) | 616,248 | ||||||
1,445,000 | 6.875%, 03/01/2026(c) | 1,504,606 | ||||||
740,000 | 6.875%, 10/15/2027(c) | 784,004 | ||||||
FMG Resources August 2006 Pty Ltd. | ||||||||
495,000 | 4.375%, 04/01/2031(c) | 512,325 | ||||||
Freeport-McMoRan, Inc. | ||||||||
450,000 | 4.250%, 03/01/2030 | 477,000 | ||||||
20,000 | 4.625%, 08/01/2030 | 21,650 | ||||||
215,000 | 5.400%, 11/14/2034 | 258,538 |
Principal Amount^ | Value | |||||||
Basic Materials (continued) | ||||||||
Glencore Funding LLC | ||||||||
$1,245,000 | 2.850%, 04/27/2031(c) | $ | 1,252,347 | |||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
410,000 | 9.000%, 07/01/2028(c) | 452,564 | ||||||
JSW Steel Ltd. | ||||||||
355,000 | 5.050%, 04/05/2032(c) | 353,382 | ||||||
Metinvest B.V. | ||||||||
200,000 | 7.750%, 10/17/2029 | 217,348 | ||||||
Olin Corp. | ||||||||
300,000 | 5.625%, 08/01/2029 | 330,186 | ||||||
Orbia Advance Corp. SAB de C.V. | ||||||||
595,000 | 2.875%, 05/11/2031(c) | 600,569 | ||||||
SPCM S.A. | ||||||||
205,000 | 3.375%, 03/15/2030(c) | 205,051 | ||||||
Suzano Austria GmbH | ||||||||
510,000 | 3.750%, 01/15/2031 | 524,535 | ||||||
Unifrax Escrow Issuer Corp. | ||||||||
70,000 | 7.500%, 09/30/2029(c) | 71,822 | ||||||
Valvoline, Inc. | ||||||||
800,000 | 3.625%, 06/15/2031(c) | 791,000 | ||||||
Vedanta Resources Finance II Plc | ||||||||
250,000 | 9.250%, 04/23/2026(c) | 238,541 | ||||||
200,000 | 9.250%, 04/23/2026 | 190,833 | ||||||
Volcan Cia Minera S.A.A. | ||||||||
95,000 | 4.375%, 02/11/2026(c) | 92,615 | ||||||
WR Grace Holdings LLC | ||||||||
3,845,000 | 4.875%, 06/15/2027(c) | 3,953,160 | ||||||
|
| |||||||
19,230,489 | ||||||||
|
| |||||||
Communications: 2.8% | ||||||||
Bharti Airtel Ltd. | ||||||||
320,000 | 3.250%, 06/03/2031(c) | 321,622 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
468,000 | 4.500%, 06/01/2033(c) | 476,878 | ||||||
3,915,000 | 4.250%, 01/15/2034(c) | 3,900,319 | ||||||
Cengage Learning, Inc. | ||||||||
460,000 | 9.500%, 06/15/2024(c) | 471,454 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
2,980,000 | 4.400%, 12/01/2061 | 3,138,045 | ||||||
Cincinnati Bell, Inc. | ||||||||
3,484,000 | 7.000%, 07/15/2024(c) | 3,558,035 | ||||||
CommScope Technologies LLC | ||||||||
640,000 | 5.000%, 03/15/2027(c) | 609,715 | ||||||
CommScope, Inc. | ||||||||
1,510,000 | 7.125%, 07/01/2028(c) | 1,546,240 | ||||||
CSC Holdings LLC | ||||||||
1,180,000 | 4.625%, 12/01/2030(c) | 1,119,590 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | ||||||||
205,000 | 5.875%, 08/15/2027(c) | 214,225 | ||||||
DISH DBS Corp. | ||||||||
450,000 | 5.125%, 06/01/2029 | 441,515 | ||||||
Embarq Corp. | ||||||||
925,000 | 7.995%, 06/01/2036 | 993,450 | ||||||
Endure Digital, Inc. | ||||||||
590,000 | 6.000%, 02/15/2029(c) | 561,370 | ||||||
Expedia Group, Inc. | ||||||||
75,000 | 4.625%, 08/01/2027 | 85,048 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Communications (continued) | ||||||||
$220,000 | 3.800%, 02/15/2028 | $ | 238,763 | |||||
1,550,000 | 3.250%, 02/15/2030 | 1,602,473 | ||||||
270,000 | 2.950%, 03/15/2031 | 272,766 | ||||||
Frontier Communications Holdings LLC | ||||||||
195,000 | 6.750%, 05/01/2029(c) | 205,773 | ||||||
iHeartCommunications, Inc. | ||||||||
165,000 | 6.375%, 05/01/2026 | 174,389 | ||||||
1,370,000 | 8.375%, 05/01/2027 | 1,465,900 | ||||||
350,000 | 5.250%, 08/15/2027(c) | 364,438 | ||||||
735,000 | 4.750%, 01/15/2028(c) | 758,336 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
825,000 | 8.500%, 10/15/2024(c)(k) | 471,644 | ||||||
Kenbourne Invest S.A. | ||||||||
825,000 | 6.875%, 11/26/2024(c) | 869,690 | ||||||
Match Group Holdings II LLC | ||||||||
800,000 | 5.000%, 12/15/2027(c) | 836,000 | ||||||
1,570,000 | 5.625%, 02/15/2029(c) | 1,690,717 | ||||||
Mav Acquisition Corp. | ||||||||
195,000 | 5.750%, 08/01/2028(c) | 191,865 | ||||||
Netflix, Inc. | ||||||||
275,000 | 4.875%, 04/15/2028 | 317,281 | ||||||
555,000 | 5.875%, 11/15/2028 | 680,103 | ||||||
80,000 | 6.375%, 05/15/2029 | 101,600 | ||||||
35,000 | 5.375%, 11/15/2029(c) | 42,438 | ||||||
500,000 | 4.875%, 06/15/2030(c) | 589,375 | ||||||
Oi S.A. | ||||||||
550,000 | 10.000%, 07/27/2025(e) | 516,973 | ||||||
Sixsigma Networks Mexico S.A. de C.V. | ||||||||
200,000 | 7.500%, 05/02/2025 | 194,829 | ||||||
Switch Ltd. | ||||||||
5,010,000 | 4.125%, 06/15/2029(c) | 5,147,775 | ||||||
T-Mobile USA, Inc. | ||||||||
1,445,000 | 3.375%, 04/15/2029 | 1,509,302 | ||||||
715,000 | 3.500%, 04/15/2031 | 754,958 | ||||||
Telesat Canada / Telesat LLC | ||||||||
135,000 | 5.625%, 12/06/2026(c) | 129,773 | ||||||
Uber Technologies, Inc. | ||||||||
220,000 | 7.500%, 05/15/2025(c) | 234,795 | ||||||
285,000 | 6.250%, 01/15/2028(c) | 306,019 | ||||||
5,940,000 | 4.500%, 08/15/2029(c) | 5,982,382 | ||||||
Verizon Communications, Inc. | ||||||||
225,000 | 2.850%, 09/03/2041 | 219,465 | ||||||
|
| |||||||
43,307,328 | ||||||||
|
| |||||||
Consumer, Cyclical: 3.7% | ||||||||
Bath & Body Works, Inc. | ||||||||
1,278,000 | 6.625%, 10/01/2030(c) | 1,452,127 | ||||||
Boyd Gaming Corp. | ||||||||
4,823,000 | 4.750%, 12/01/2027 | 4,990,141 | ||||||
Carlson Travel, Inc. | ||||||||
155,000 | 6.750%, 12/15/2025(c) | 138,731 | ||||||
Carnival Corp. | ||||||||
95,000 | 7.625%, 03/01/2026(c) | 101,531 | ||||||
940,000 | 5.750%, 03/01/2027(c) | 971,725 | ||||||
Carvana Co. | ||||||||
605,000 | 5.625%, 10/01/2025(c) | 625,891 | ||||||
4,605,000 | 5.875%, 10/01/2028(c) | 4,765,761 | ||||||
Churchill Downs, Inc. | ||||||||
3,369,000 | 4.750%, 01/15/2028(c) | 3,529,027 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
Crocs, Inc. | ||||||||
$1,640,000 | 4.250%, 03/15/2029(c) | $ | 1,690,487 | |||||
1,760,000 | 4.125%, 08/15/2031(c) | 1,775,400 | ||||||
Dealer Tire LLC / DT Issuer LLC | ||||||||
565,000 | 8.000%, 02/01/2028(c) | 592,432 | ||||||
Everi Holdings, Inc. | ||||||||
912,000 | 5.000%, 07/15/2029(c) | 935,648 | ||||||
General Motors Co. | ||||||||
645,000 | 5.400%, 04/01/2048 | 800,189 | ||||||
510,000 | 5.950%, 04/01/2049 | 673,139 | ||||||
General Motors Financial Co., Inc. | ||||||||
310,000 | 5.750%, 09/30/2027(d)(h) | 339,438 | ||||||
255,000 | 6.500%, 09/30/2028(d)(h) | 288,788 | ||||||
100,000 | 5.700%, 09/30/2030(d)(h) | 115,375 | ||||||
Genm Capital Labuan Ltd. | ||||||||
700,000 | 3.882%, 04/19/2031(c) | 692,662 | ||||||
Grupo Axo SAPI de C.V. | ||||||||
200,000 | 5.750%, 06/08/2026(c) | 205,299 | ||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | ||||||||
495,000 | 5.000%, 06/01/2029(c) | 505,519 | ||||||
160,000 | 4.875%, 07/01/2031(c) | 160,800 | ||||||
Hyatt Hotels Corp. | ||||||||
195,000 | 5.375%, 04/23/2025 | 217,838 | ||||||
355,000 | 5.750%, 04/23/2030 | 426,202 | ||||||
Installed Building Products, Inc. | ||||||||
895,000 | 5.750%, 02/01/2028(c) | 940,730 | ||||||
Lithia Motors, Inc. | ||||||||
220,000 | 3.875%, 06/01/2029(c) | 228,941 | ||||||
Marriott International, Inc. | ||||||||
275,000 | 4.625%, 06/15/2030 | 314,052 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
230,000 | 4.500%, 06/15/2029(c) | 233,163 | ||||||
Murphy Oil USA, Inc. | ||||||||
594,000 | 3.750%, 02/15/2031(c) | 598,455 | ||||||
NCL Corp. Ltd. | ||||||||
610,000 | 5.875%, 03/15/2026(c) | 626,070 | ||||||
NCL Finance Ltd. | ||||||||
200,000 | 6.125%, 03/15/2028(c) | 207,843 | ||||||
Papa John’s International, Inc. | ||||||||
600,000 | 3.875%, 09/15/2029(c) | 596,178 | ||||||
Park River Holdings, Inc. | ||||||||
120,000 | 5.625%, 02/01/2029(c) | 116,428 | ||||||
Penn National Gaming, Inc. | ||||||||
180,000 | 4.125%, 07/01/2029(c) | 178,137 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
500,000 | 7.750%, 02/15/2029(c) | 546,278 | ||||||
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. | ||||||||
240,000 | 5.625%, 09/01/2029(c) | 242,718 | ||||||
190,000 | 5.875%, 09/01/2031(c) | 192,192 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
340,000 | 11.500%, 06/01/2025(c) | 388,365 | ||||||
145,000 | 4.250%, 07/01/2026(c) | 142,216 | ||||||
985,000 | 5.500%, 04/01/2028(c) | 1,008,915 | ||||||
Scientific Games International, Inc. | ||||||||
4,743,000 | 7.000%, 05/15/2028(c) | 5,122,440 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Cyclical (continued) | ||||||||
$225,000 | 7.250%, 11/15/2029(c) | $ | 253,100 | |||||
SeaWorld Parks & Entertainment, Inc. | ||||||||
500,000 | 5.250%, 08/15/2029(c) | 511,475 | ||||||
Superior Plus L.P. / Superior General Partner, Inc. | ||||||||
2,900,000 | 4.500%, 03/15/2029(c) | 2,997,875 | ||||||
SWF Escrow Issuer Corp. | ||||||||
450,000 | 6.500%, 10/01/2029(c)(l) | 438,998 | ||||||
Tempur Sealy International, Inc. | ||||||||
2,970,000 | 4.000%, 04/15/2029(c) | 3,066,525 | ||||||
1,149,000 | 3.875%, 10/15/2031(c) | 1,151,872 | ||||||
TKC Holdings, Inc. | ||||||||
320,000 | 10.500%, 05/15/2029(c) | 351,288 | ||||||
Travel & Leisure Co. | ||||||||
420,000 | 6.625%, 07/31/2026(c) | 478,808 | ||||||
35,000 | 6.000%, 04/01/2027 | 38,852 | ||||||
265,000 | 4.625%, 03/01/2030(c) | 273,419 | ||||||
United Airlines Pass Through Trust | ||||||||
1,572,105 | Series 2019-2-B | 1,549,703 | ||||||
149,480 | Series 2020-1-B | 158,504 | ||||||
United Airlines, Inc. | ||||||||
120,000 | 4.375%, 04/15/2026(c) | 123,300 | ||||||
120,000 | 4.625%, 04/15/2029(c) | 124,164 | ||||||
Vista Outdoor, Inc. | ||||||||
2,060,000 | 4.500%, 03/15/2029(c) | 2,091,559 | ||||||
Wheel Pros, Inc. | ||||||||
230,000 | 6.500%, 05/15/2029(c) | 222,814 | ||||||
Wolverine Escrow LLC | ||||||||
109,000 | 9.000%, 11/15/2026(c) | 100,386 | ||||||
Yum! Brands, Inc. | ||||||||
2,926,000 | 4.750%, 01/15/2030(c) | 3,174,915 | ||||||
2,014,000 | 4.625%, 01/31/2032 | 2,152,462 | ||||||
|
| |||||||
56,937,290 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 4.9% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
2,450,000 | 5.500%, 07/01/2028(c) | 2,578,539 | ||||||
1,650,000 | 5.000%, 04/15/2029(c) | 1,720,199 | ||||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
480,000 | 4.200%, 08/04/2027(c) | 503,508 | ||||||
Air Methods Corp. | ||||||||
460,000 | 8.000%, 05/15/2025(c) | 440,047 | ||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC | ||||||||
4,600,000 | 3.500%, 03/15/2029(c) | 4,588,500 | ||||||
AMN Healthcare, Inc. | ||||||||
3,484,000 | 4.625%, 10/01/2027(c) | 3,619,005 | ||||||
ASGN, Inc. | ||||||||
2,743,000 | 4.625%, 05/15/2028(c) | 2,842,434 | ||||||
Atento Luxco 1 S.A. | ||||||||
100,000 | 8.000%, 02/10/2026(c) | 109,628 | ||||||
Avantor Funding, Inc. | ||||||||
4,950,000 | 4.625%, 07/15/2028(c) | 5,216,310 |
Principal Amount^ | Value | |||||||
Consumer, Non-cyclical (continued) | ||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | ||||||||
$2,972,000 | 4.750%, 04/01/2028(c) | $ | 3,068,263 | |||||
BECLE S.A. DE CV | ||||||||
740,000 | 2.500%, 10/14/2031(c) | 732,422 | ||||||
Camposol S.A. | ||||||||
550,000 | 6.000%, 02/03/2027 | 568,837 | ||||||
Carriage Services, Inc. | ||||||||
1,331,000 | 4.250%, 05/15/2029(c) | 1,344,044 | ||||||
Centene Corp. | ||||||||
250,000 | 3.000%, 10/15/2030 | 256,563 | ||||||
1,090,000 | 2.500%, 03/01/2031 | 1,076,375 | ||||||
405,000 | 2.625%, 08/01/2031 | 402,768 | ||||||
Charles River Laboratories International, Inc. | ||||||||
4,733,000 | 4.250%, 05/01/2028(c) | 4,920,190 | ||||||
800,000 | 4.000%, 03/15/2031(c) | 839,184 | ||||||
CHS / Community Health Systems, Inc. | ||||||||
305,000 | 6.875%, 04/15/2029(c) | 305,763 | ||||||
Corp. Azucarera del Peru S.A. | ||||||||
100,000 | 6.375%, 08/02/2022 | 98,909 | ||||||
Coty, Inc. | ||||||||
70,000 | 6.500%, 04/15/2026(c) | 71,813 | ||||||
Encompass Health Corp. | ||||||||
500,000 | 4.750%, 02/01/2030 | 527,045 | ||||||
Fomento Economico Mexicano SAB de C.V. | ||||||||
858,000 | 3.500%, 01/16/2050 | 895,537 | ||||||
Frigorifico Concepcion S.A. | ||||||||
400,000 | 7.700%, 07/21/2028(c) | 414,592 | ||||||
Gartner, Inc. | ||||||||
3,350,000 | 3.625%, 06/15/2029(c) | 3,396,163 | ||||||
2,366,000 | 3.750%, 10/01/2030(c) | 2,438,045 | ||||||
Grifols Escrow Issuer S.A. | ||||||||
315,000 | 4.750%, 10/15/2028(c)(l) | 322,151 | ||||||
HCA, Inc. | ||||||||
410,000 | 3.500%, 09/01/2030 | 434,760 | ||||||
JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | ||||||||
240,000 | 3.750%, 12/01/2031(c) | 250,027 | ||||||
Korn Ferry | ||||||||
1,800,000 | 4.625%, 12/15/2027(c) | 1,869,750 | ||||||
Kraft Heinz Foods Co. | ||||||||
400,000 | 4.375%, 06/01/2046 | 455,893 | ||||||
730,000 | 4.875%, 10/01/2049 | 890,068 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
430,000 | 7.000%, 12/31/2027(c) | 412,263 | ||||||
MARB BondCo Plc | ||||||||
725,000 | 3.950%, 01/29/2031(c) | 693,477 | ||||||
ModivCare, Inc. | ||||||||
2,360,000 | 5.875%, 11/15/2025(c) | 2,498,650 | ||||||
Natura Cosmeticos S.A. | ||||||||
330,000 | 4.125%, 05/03/2028(c) | 334,455 | ||||||
Pilgrim’s Pride Corp. | ||||||||
500,000 | 4.250%, 04/15/2031(c) | 537,875 | ||||||
560,000 | 3.500%, 03/01/2032(c) | 570,618 | ||||||
Post Holdings, Inc. | ||||||||
1,600,000 | 5.625%, 01/15/2028(c) | 1,682,960 | ||||||
750,000 | 4.500%, 09/15/2031(c) | 742,035 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
Pyxus Holdings, Inc. | ||||||||
$245,100 | 10.000%, 08/24/2024 | $ | 213,733 | |||||
Radiology Partners, Inc. | ||||||||
590,000 | 9.250%, 02/01/2028(c) | 635,462 | ||||||
Sabre GLBL, Inc. | ||||||||
180,000 | 7.375%, 09/01/2025(c) | 192,366 | ||||||
Service Corp. International | ||||||||
2,627,000 | 4.000%, 05/15/2031 | 2,718,945 | ||||||
Square, Inc. | ||||||||
320,000 | 3.500%, 06/01/2031(c) | 329,600 | ||||||
TBLA International Pte Ltd. | ||||||||
400,000 | 7.000%, 01/24/2023 | 391,762 | ||||||
Teleflex, Inc. | ||||||||
3,100,000 | 4.625%, 11/15/2027 | 3,235,625 | ||||||
500,000 | 4.250%, 06/01/2028(c) | 520,487 | ||||||
Tenet Healthcare Corp. | ||||||||
2,951,000 | 6.125%, 10/01/2028(c) | 3,102,047 | ||||||
Teva Pharmaceutical Finance Netherlands II B.V. | ||||||||
| 1,455,000 (EUR) | | 6.000%, 01/31/2025 | 1,824,177 | ||||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||
395,000 | 7.125%, 01/31/2025 | 432,525 | ||||||
925,000 | 3.150%, 10/01/2026 | 888,000 | ||||||
4,795,000 | 4.100%, 10/01/2046 | 4,142,329 | ||||||
Triton Water Holdings, Inc. | ||||||||
340,000 | 6.250%, 04/01/2029(c) | 345,950 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
185,000 | 5.750%, 04/15/2026(c) | 192,863 | ||||||
|
| |||||||
73,835,536 | ||||||||
|
| |||||||
Diversified: 0.0% | ||||||||
ABM Investama Tbk PT | ||||||||
250,000 | 9.500%, 08/05/2026(c) | 240,000 | ||||||
|
| |||||||
Energy: 4.4% | ||||||||
AI Candelaria Spain SLU | ||||||||
250,000 | 5.750%, 06/15/2033(c) | 248,874 | ||||||
250,000 | 5.750%, 06/15/2033 | 248,874 | ||||||
Aker BP ASA | ||||||||
1,175,000 | 3.750%, 01/15/2030(c) | 1,257,496 | ||||||
300,000 | 4.000%, 01/15/2031(c) | 326,174 | ||||||
Antero Midstream Partners L.P. / Antero Midstream Finance Corp. | ||||||||
50,000 | 5.750%, 01/15/2028(c) | 52,000 | ||||||
Antero Resources Corp. | ||||||||
4,487,000 | 7.625%, 02/01/2029(c) | 5,022,075 | ||||||
850,000 | 5.375%, 03/01/2030(c) | 896,240 | ||||||
Baytex Energy Corp. | ||||||||
3,830,000 | 8.750%, 04/01/2027(c) | 3,960,641 | ||||||
Calumet Specialty Products Partners L.P. / Calumet Finance Corp. | ||||||||
3,070,000 | 11.000%, 04/15/2025(c) | 3,327,112 | ||||||
Continental Resources, Inc. | ||||||||
635,000 | 5.750%, 01/15/2031(c) | 767,301 | ||||||
Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp. | ||||||||
1,081,000 | 6.000%, 02/01/2029(c) | 1,132,589 | ||||||
Delek Logistics Partners L.P. / Delek Logistics Finance Corp. | ||||||||
1,800,000 | 7.125%, 06/01/2028(c) | 1,919,493 | ||||||
Diamondback Energy, Inc. | ||||||||
2,300,000 | 3.500%, 12/01/2029 | 2,458,866 |
Principal Amount^ | Value | |||||||
Energy (continued) | ||||||||
Energean Israel Finance Ltd. | ||||||||
$325,000 | 5.375%, 03/30/2028(c) | $ | 333,255 | |||||
425,000 | 5.875%, 03/30/2031(c) | 437,559 | ||||||
EQT Corp. | ||||||||
45,000 | 3.125%, 05/15/2026(c) | 46,187 | ||||||
30,000 | 5.000%, 01/15/2029 | 33,816 | ||||||
95,000 | 3.625%, 05/15/2031(c) | 99,109 | ||||||
Frontera Energy Corp. | ||||||||
400,000 | 7.875%, 06/21/2028(c) | 388,500 | ||||||
FS Luxembourg S.A.R.L. | ||||||||
400,000 | 10.000%, 12/15/2025(c) | 441,080 | ||||||
Geopark Ltd. | ||||||||
350,000 | 6.500%, 09/21/2024 | 359,704 | ||||||
Global Partners L.P. / GLP Finance Corp. | ||||||||
710,000 | 6.875%, 01/15/2029 | 737,931 | ||||||
Gran Tierra Energy, Inc. | ||||||||
550,000 | 7.750%, 05/23/2027(c) | 477,477 | ||||||
Gray Oak Pipeline LLC | ||||||||
70,000 | 3.450%, 10/15/2027(c) | 73,839 | ||||||
Gulfport Energy Operating Corp. | ||||||||
145,000 | 6.625%, 05/01/2023(k) | 0 | ||||||
287,000 | 6.000%, 10/15/2024(k) | 0 | ||||||
137,000 | 6.375%, 05/15/2025(k) | 0 | ||||||
144,000 | 6.375%, 01/15/2026(k) | 0 | ||||||
Hess Midstream Operations L.P. | ||||||||
140,000 | 4.250%, 02/15/2030(c) | 142,002 | ||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | ||||||||
200,000 | 6.375%, 06/01/2028 | 202,136 | ||||||
Indika Energy Capital IV Pte Ltd. | ||||||||
250,000 | 8.250%, 10/22/2025 | 260,354 | ||||||
Kosmos Energy Ltd. | ||||||||
400,000 | 7.125%, 04/04/2026 | 392,878 | ||||||
Laredo Petroleum, Inc. | ||||||||
2,150,000 | 10.125%, 01/15/2028 | 2,327,590 | ||||||
2,130,000 | 7.750%, 07/31/2029(c) | 2,137,987 | ||||||
Leviathan Bond Ltd. | ||||||||
335,000 | 6.500%, 06/30/2027(c) | 369,038 | ||||||
Lundin Energy Finance B.V. | ||||||||
355,000 | 3.100%, 07/15/2031(c) | 359,846 | ||||||
Matador Resources Co. | ||||||||
4,513,000 | 5.875%, 09/15/2026 | 4,665,675 | ||||||
MEG Energy Corp. | ||||||||
4,460,000 | 7.125%, 02/01/2027(c) | 4,688,352 | ||||||
750,000 | 5.875%, 02/01/2029(c) | 768,150 | ||||||
Murphy Oil Corp. | ||||||||
810,000 | 6.375%, 07/15/2028 | 857,587 | ||||||
NGD Holdings B.V. | ||||||||
250,000 | 6.750%, 12/31/2026 | 242,925 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. | ||||||||
685,000 | 7.500%, 02/01/2026(c) | 698,820 | ||||||
Northern Oil and Gas, Inc. | ||||||||
2,187,000 | 8.125%, 03/01/2028(c) | 2,339,871 | ||||||
Ovintiv, Inc. | ||||||||
75,000 | 8.125%, 09/15/2030 | 103,647 | ||||||
20,000 | 7.200%, 11/01/2031 | 26,841 | ||||||
15,000 | 7.375%, 11/01/2031 | 20,355 | ||||||
70,000 | 6.500%, 08/15/2034 | 94,507 | ||||||
145,000 | 6.625%, 08/15/2037 | 198,936 | ||||||
30,000 | 6.500%, 02/01/2038 | 41,283 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Energy (continued) | ||||||||
PBF Holding Co. LLC / PBF Finance Corp. | ||||||||
$420,000 | 9.250%, 05/15/2025(c) | $ | 398,523 | |||||
Pertamina Persero PT | ||||||||
300,000 | 4.150%, 02/25/2060 | 297,536 | ||||||
Peru LNG Srl | ||||||||
700,000 | 5.375%, 03/22/2030 | 565,695 | ||||||
Petrobras Global Finance B.V. | ||||||||
350,000 | 5.500%, 06/10/2051 | 326,130 | ||||||
Petroleos Mexicanos | ||||||||
3,235,000 | 5.950%, 01/28/2031 | 3,140,295 | ||||||
1,420,000 | 6.625%, 06/15/2035 | 1,346,820 | ||||||
400,000 | 6.375%, 01/23/2045 | 340,722 | ||||||
200,000 | 6.750%, 09/21/2047 | 174,740 | ||||||
Precision Drilling Corp. | ||||||||
2,140,000 | 6.875%, 01/15/2029(c) | 2,238,440 | ||||||
Range Resources Corp. | ||||||||
5,046,000 | 8.250%, 01/15/2029(c) | 5,683,310 | ||||||
Saudi Arabian Oil Co. | ||||||||
935,000 | 3.250%, 11/24/2050(c) | 893,640 | ||||||
SierraCol Energy Andina LLC | ||||||||
400,000 | 6.000%, 06/15/2028(c) | 391,626 | ||||||
SM Energy Co. | ||||||||
2,260,000 | 6.500%, 07/15/2028 | 2,342,648 | ||||||
Sunoco L.P. / Sunoco Finance Corp. | ||||||||
900,000 | 4.500%, 05/15/2029 | 913,967 | ||||||
Transocean, Inc. | ||||||||
1,300,000 | 11.500%, 01/30/2027(c) | 1,341,132 | ||||||
Tullow Oil Plc | ||||||||
300,000 | 10.250%, 05/15/2026(c) | 313,653 | ||||||
UEP Penonome II S.A. | ||||||||
394,388 | 6.500%, 10/01/2038(c) | 412,932 | ||||||
YPF S.A. | ||||||||
450,000 | 6.950%, 07/21/2027(c) | 332,647 | ||||||
|
| |||||||
67,439,428 | ||||||||
|
| |||||||
Financial: 5.3% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
300,000 | 6.500%, 07/15/2025 | 347,864 | ||||||
245,000 | 3.650%, 07/21/2027 | 260,291 | ||||||
665,000 | 3.875%, 01/23/2028 | 714,346 | ||||||
Agile Group Holdings Ltd. | ||||||||
200,000 | 6.875%, 03/07/2023(d)(h) | 182,176 | ||||||
200,000 | 5.500%, 04/21/2025 | 188,725 | ||||||
200,000 | 7.750%, 05/25/2025(d)(h) | 180,728 | ||||||
200,000 | 6.050%, 10/13/2025 | 189,228 | ||||||
Air Lease Corp. | ||||||||
1,185,000 | 3.125%, 12/01/2030 | 1,213,584 | ||||||
Aircastle Ltd. | ||||||||
1,295,000 | 4.250%, 06/15/2026 | 1,415,720 | ||||||
175,000 | 5.250%, 06/15/2026(c)(d)(h) | 179,121 | ||||||
Ally Financial, Inc. | ||||||||
995,000 | 4.700%, 05/15/2028(d)(h) | 1,042,262 | ||||||
1,500,000 | 8.000%, 11/01/2031 | 2,163,089 | ||||||
Alpha Holding S.A. de C.V. | ||||||||
600,000 | 9.000%, 02/10/2025(c) | 89,100 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Antares Holdings L.P. | ||||||||
$255,000 | 3.950%, 07/15/2026(c) | $ | 269,112 | |||||
450,000 | 2.750%, 01/15/2027(c) | 450,528 | ||||||
Ares Capital Corp. | ||||||||
1,140,000 | 2.875%, 06/15/2028 | 1,154,685 | ||||||
Assurant, Inc. | ||||||||
1,960,000 | 3.700%, 02/22/2030 | 2,128,708 | ||||||
Athene Holding Ltd. | ||||||||
355,000 | 3.500%, 01/15/2031 | 380,047 | ||||||
Aviation Capital Group LLC | ||||||||
140,000 | 1.950%, 01/30/2026(c) | 139,504 | ||||||
Banco Davivienda S.A. | ||||||||
200,000 | 6.650%, 04/22/2031(c)(d)(h) | 213,759 | ||||||
Banco do Brasil S.A. | ||||||||
350,000 | 6.250%, 04/15/2024(d)(h) | 350,138 | ||||||
Banco General S.A. | ||||||||
200,000 | 5.250%, 05/07/2031(c)(d)(h) | 202,502 | ||||||
Banco GNB Sudameris S.A. | ||||||||
200,000 | 6.500%, 04/03/2027(h) | 199,991 | ||||||
350,000 | 7.500%, 04/16/2031(c)(h) | 357,420 | ||||||
Banco Hipotecario S.A. | ||||||||
| 12,020,000 (ARS) | | 38.125%, 11/07/2022(c)(f) | 66,409 | ||||
Banco Macro S.A. | ||||||||
| 7,805,000 (ARS) | | 17.500%, 05/08/2022(c) | 36,357 | ||||
250,000 | 6.750%, 11/04/2026(h) | 217,913 | ||||||
Banco Santander Mexico S.A. | ||||||||
500,000 | 8.500%, 01/20/2022(d)(h) | 513,125 | ||||||
Banco Santander S.A. | ||||||||
200,000 | 2.749%, 12/03/2030 | 198,948 | ||||||
Barclays Plc | ||||||||
660,000 | 4.375%, 03/15/2028(d)(h) | 661,188 | ||||||
400,000 | 5.088%, 06/20/2030(h) | 461,459 | ||||||
740,000 | 3.564%, 09/23/2035(h) | 767,535 | ||||||
Blackstone Secured Lending Fund | ||||||||
1,295,000 | 2.125%, 02/15/2027(c) | 1,280,541 | ||||||
Central China Real Estate Ltd. | ||||||||
200,000 | 7.250%, 07/16/2024 | 123,155 | ||||||
China Evergrande Group | ||||||||
200,000 | 9.500%, 04/11/2022 | 50,610 | ||||||
200,000 | 8.750%, 06/28/2025 | 48,000 | ||||||
Credito Real SAB de C.V. | ||||||||
550,000 | 9.125%, 11/29/2022(d)(h) | 395,599 | ||||||
Credivalores-Crediservicios SAS | ||||||||
100,000 | 9.750%, 07/27/2022 | 94,738 | ||||||
300,000 | 8.875%, 02/07/2025(c) | 245,726 | ||||||
Deutsche Bank AG | ||||||||
800,000 | 3.729%, 01/14/2032(h) | 825,737 | ||||||
300,000 | 3.035%, 05/28/2032(h) | 305,381 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
Docuformas SAPI de C.V. | ||||||||
$550,000 | 10.250%, 07/24/2024(c) | $ | 527,519 | |||||
Easy Tactic Ltd. | ||||||||
200,000 | 5.875%, 02/13/2023 | 144,248 | ||||||
200,000 | 11.750%, 08/02/2023 | 141,541 | ||||||
Enova International, Inc. | ||||||||
1,020,000 | 8.500%, 09/01/2024(c) | 1,041,955 | ||||||
Fantasia Holdings Group Co. Ltd. | ||||||||
200,000 | 11.875%, 06/01/2023 | 62,501 | ||||||
FS KKR Capital Corp. | ||||||||
1,185,000 | 3.400%, 01/15/2026 | 1,237,680 | ||||||
Gilex Holding S.A.R.L. | ||||||||
510,000 | 8.500%, 05/02/2023 | 520,292 | ||||||
Global Atlantic Fin Co. | ||||||||
570,000 | 4.400%, 10/15/2029(c) | 626,136 | ||||||
goeasy Ltd. | ||||||||
4,148,000 | 4.375%, 05/01/2026(c) | 4,267,255 | ||||||
Greenland Global Investment Ltd. | ||||||||
400,000 | 5.875%, 07/03/2024 | 259,170 | ||||||
Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | ||||||||
4,264,000 | 4.750%, 09/15/2024 | 4,439,890 | ||||||
925,000 | 6.250%, 05/15/2026 | 967,781 | ||||||
537,000 | 5.250%, 05/15/2027 | 558,926 | ||||||
610,000 | 4.375%, 02/01/2029 | 610,000 | ||||||
Intesa Sanpaolo SpA | ||||||||
600,000 | 5.017%, 06/26/2024(c) | 647,967 | ||||||
Iron Mountain, Inc. | ||||||||
900,000 | 4.500%, 02/15/2031(c) | 913,995 | ||||||
iStar, Inc. | ||||||||
3,822,000 | 4.750%, 10/01/2024 | 4,046,542 | ||||||
1,050,000 | 4.250%, 08/01/2025 | 1,091,979 | ||||||
504,000 | 5.500%, 02/15/2026 | 527,310 | ||||||
Itau Unibanco Holding S.A. | ||||||||
300,000 | 4.625%, 02/27/2025(d)(h) | 287,184 | ||||||
Jababeka International B.V. | ||||||||
200,000 | 6.500%, 10/05/2023 | 193,707 | ||||||
Kaisa Group Holdings Ltd. | ||||||||
200,000 | 9.375%, 06/30/2024 | 152,537 | ||||||
400,000 | 11.650%, 06/01/2026 | 305,478 | ||||||
Kennedy-Wilson, Inc. | ||||||||
380,000 | 4.750%, 02/01/2030 | 387,125 | ||||||
KWG Group Holdings Ltd. | ||||||||
210,000 | 6.300%, 02/13/2026 | 189,768 | ||||||
Logan Group Co. Ltd. | ||||||||
200,000 | 7.000%, 05/31/2022(d)(h) | 197,060 | ||||||
MGM Growth Properties Operating Partnership L.P. / MGP Finance Co-Issuer, Inc. | ||||||||
3,597,000 | 5.625%, 05/01/2024 | 3,916,234 | ||||||
550,000 | 4.625%, 06/15/2025(c) | 593,312 | ||||||
1,414,000 | 5.750%, 02/01/2027 | 1,627,867 | ||||||
National Health Investors, Inc. | ||||||||
100,000 | 3.000%, 02/01/2031 | 97,234 | ||||||
Navient Corp. | ||||||||
2,192,000 | 4.875%, 03/15/2028 | 2,225,053 | ||||||
Oaktree Specialty Lending Corp. | ||||||||
160,000 | 2.700%, 01/15/2027 | 160,542 | ||||||
Operadora de Servicios Mega S.A. de C.V. Sofom ER | ||||||||
400,000 | 8.250%, 02/11/2025(c) | 403,682 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Owl Rock Capital Corp. | ||||||||
$945,000 | 3.400%, 07/15/2026 | $ | 984,683 | |||||
580,000 | 2.875%, 06/11/2028 | 578,847 | ||||||
Owl Rock Technology Finance Corp. | ||||||||
105,000 | 2.500%, 01/15/2027 | 105,427 | ||||||
Quicken Loans LLC | ||||||||
2,015,000 | 5.250%, 01/15/2028(c) | 2,173,681 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
1,100,000 | 3.625%, 03/01/2029(c) | 1,122,297 | ||||||
1,165,000 | 3.875%, 03/01/2031(c) | 1,176,650 | ||||||
RKP Overseas Finance 2016 A Ltd. | ||||||||
200,000 | 7.950%, 02/17/2022(d) | 187,634 | ||||||
RKPF Overseas 2019 E Ltd. | ||||||||
300,000 | 7.750%, 11/18/2024(d)(h) | 277,319 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. | ||||||||
1,760,000 | 2.875%, 10/15/2026(c)(l) | 1,749,000 | ||||||
1,175,000 | 4.000%, 10/15/2033(c)(l) | 1,167,656 | ||||||
Ronshine China Holdings Ltd. | ||||||||
200,000 | 7.350%, 12/15/2023 | 144,266 | ||||||
350,000 | 6.750%, 08/05/2024 | 238,833 | ||||||
SBA Communications Corp. | ||||||||
2,056,000 | 3.125%, 02/01/2029(c) | 1,989,180 | ||||||
Societe Generale S.A. | ||||||||
1,605,000 | 3.653%, 07/08/2035(c)(h) | 1,663,507 | ||||||
Standard Chartered Plc | ||||||||
830,000 | 3.265%, 02/18/2036(c)(h) | 823,354 | ||||||
Starwood Property Trust, Inc. | ||||||||
3,700,000 | 4.750%, 03/15/2025 | 3,898,875 | ||||||
1,457,000 | 3.625%, 07/15/2026(c) | 1,464,285 | ||||||
Sunac China Holdings Ltd. | ||||||||
810,000 | 6.500%, 01/26/2026 | 654,104 | ||||||
Theta Capital Pte Ltd. | ||||||||
200,000 | 8.125%, 01/22/2025 | 208,472 | ||||||
300,000 | 6.750%, 10/31/2026 | 296,994 | ||||||
Times China Holdings Ltd. | ||||||||
200,000 | 6.200%, 03/22/2026 | 181,655 | ||||||
Unifin Financiera SAB de C.V. | ||||||||
600,000 | 8.875%, 01/29/2025(d)(h) | 459,792 | ||||||
Uniti Group L.P. / Uniti Group Finance, Inc. / CSL Capital LLC | ||||||||
530,000 | 6.500%, 02/15/2029(c) | 545,900 | ||||||
VICI Properties L.P. / VICI Note Co., Inc. | ||||||||
2,890,000 | 4.250%, 12/01/2026(c) | 3,021,726 | ||||||
Yuzhou Group Holdings Co. Ltd. | ||||||||
300,000 | 8.300%, 05/27/2025 | 221,398 | ||||||
200,000 | 7.375%, 01/13/2026 | 132,799 | ||||||
800,000 | 6.350%, 01/13/2027 | 519,904 | ||||||
Zhenro Properties Group Ltd. | ||||||||
400,000 | 6.630%, 01/07/2026 | 339,735 | ||||||
|
| |||||||
80,002,492 | ||||||||
|
| |||||||
Government: 0.0% | ||||||||
International Finance Corp. | ||||||||
| 25,580,000 (INR) | | 5.850%, 11/25/2022 | 348,087 | ||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial: 2.6% | ||||||||
Advanced Drainage Systems, Inc. | ||||||||
$1,585,000 | 5.000%, 09/30/2027(c) | $ | 1,657,641 | |||||
ATS Automation Tooling Systems, Inc. | ||||||||
1,800,000 | 4.125%, 12/15/2028(c) | 1,848,222 | ||||||
Ball Corp. | ||||||||
2,963,000 | 4.875%, 03/15/2026 | 3,277,819 | ||||||
Boeing Co. (The) | ||||||||
1,375,000 | 2.196%, 02/04/2026 | 1,387,254 | ||||||
460,000 | 2.250%, 06/15/2026 | 467,846 | ||||||
195,000 | 2.950%, 02/01/2030 | 198,739 | ||||||
500,000 | 5.150%, 05/01/2030 | 585,901 | ||||||
235,000 | 3.375%, 06/15/2046 | 226,404 | ||||||
25,000 | 3.625%, 03/01/2048 | 24,646 | ||||||
295,000 | 3.900%, 05/01/2049 | 303,564 | ||||||
435,000 | 3.750%, 02/01/2050 | 441,529 | ||||||
2,055,000 | 5.805%, 05/01/2050 | 2,734,313 | ||||||
80,000 | 3.825%, 03/01/2059 | 78,520 | ||||||
110,000 | 3.950%, 08/01/2059 | 112,843 | ||||||
65,000 | 5.930%, 05/01/2060 | 88,711 | ||||||
Bombardier, Inc. | ||||||||
900,000 | 7.125%, 06/15/2026(c) | 948,375 | ||||||
4,386,000 | 7.875%, 04/15/2027(c) | 4,544,992 | ||||||
200,000 | 6.000%, 02/15/2028(c) | 202,519 | ||||||
Cemex SAB de C.V. | ||||||||
355,000 | 5.125%, 06/08/2026(c)(d)(h) | 362,015 | ||||||
400,000 | 5.450%, 11/19/2029(c) | 434,000 | ||||||
820,000 | 5.200%, 09/17/2030(c) | 881,746 | ||||||
1,110,000 | 3.875%, 07/11/2031(c) | 1,112,053 | ||||||
Danaos Corp. | ||||||||
1,300,000 | 8.500%, 03/01/2028(c) | 1,438,593 | ||||||
Embraer Netherlands Finance B.V. | ||||||||
230,000 | 5.050%, 06/15/2025 | 242,362 | ||||||
GMR Hyderabad International Airport Ltd. | ||||||||
735,000 | 5.375%, 04/10/2024 | 753,894 | ||||||
580,000 | 4.750%, 02/02/2026(c) | 580,087 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
186,000 | 5.875%, 04/01/2020(k) | 930 | ||||||
Howmet Aerospace, Inc. | ||||||||
128,000 | 6.875%, 05/01/2025 | 149,923 | ||||||
HTA Group Ltd. | ||||||||
1,100,000 | 7.000%, 12/18/2025(c) | 1,160,291 | ||||||
Indian Railway Finance Corp. Ltd. | ||||||||
550,000 | 2.800%, 02/10/2031(c) | 531,542 | ||||||
Interpipe Holdings Plc | ||||||||
200,000 | 8.375%, 05/13/2026(c) | 197,239 | ||||||
Leonardo US Holdings, Inc. | ||||||||
438,000 | 6.250%, 01/15/2040(c) | 524,610 | ||||||
Louisiana-Pacific Corp. | ||||||||
1,500,000 | 3.625%, 03/15/2029(c) | 1,512,112 | ||||||
Sealed Air Corp. | ||||||||
800,000 | 4.000%, 12/01/2027(c) | 853,460 | ||||||
Sensata Technologies, Inc. | ||||||||
418,000 | 4.375%, 02/15/2030(c) | 450,514 | ||||||
Silgan Holdings, Inc. | ||||||||
1,648,000 | 4.125%, 02/01/2028 | 1,695,380 | ||||||
Spirit AeroSystems, Inc. | ||||||||
80,000 | 4.600%, 06/15/2028 | 79,800 |
Principal Amount^ | Value | |||||||
Industrial (continued) | ||||||||
Stericycle, Inc. | ||||||||
$600,000 | 3.875%, 01/15/2029(c) | $ | 604,416 | |||||
Stoneway Capital Corp. | ||||||||
177,117 | 10.000%, 03/01/2027(k) | 46,938 | ||||||
Tervita Corp. | ||||||||
344,000 | 11.000%, 12/01/2025(c) | 391,040 | ||||||
TopBuild Corp. | ||||||||
225,000 | 4.125%, 02/15/2032(c)(l) | 227,813 | ||||||
Triumph Group, Inc. | ||||||||
595,000 | 6.250%, 09/15/2024(c) | 595,586 | ||||||
150,000 | 7.750%, 08/15/2025 | 148,322 | ||||||
WESCO Distribution, Inc. | ||||||||
5,075,000 | 7.250%, 06/15/2028(c) | 5,626,906 | ||||||
|
| |||||||
39,731,410 | ||||||||
|
| |||||||
Technology: 2.0% | ||||||||
Austin BidCo, Inc. | ||||||||
435,000 | 7.125%, 12/15/2028(c) | 438,861 | ||||||
Black Knight InfoServ LLC | ||||||||
1,002,000 | 3.625%, 09/01/2028(c) | 1,008,263 | ||||||
Broadcom, Inc. | ||||||||
1,335,000 | 4.300%, 11/15/2032 | 1,495,299 | ||||||
Castle US Holding Corp. | ||||||||
850,000 | 9.500%, 02/15/2028(c) | 892,951 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
4,370,000 | 3.250%, 02/15/2029 | 4,484,712 | ||||||
Entegris, Inc. | ||||||||
2,986,000 | 4.375%, 04/15/2028(c) | 3,132,105 | ||||||
900,000 | 3.625%, 05/01/2029(c) | 919,249 | ||||||
Fair Isaac Corp. | ||||||||
754,000 | 5.250%, 05/15/2026(c) | 857,298 | ||||||
160,000 | 4.000%, 06/15/2028(c) | 164,605 | ||||||
Flexential Intermediate Corp. | ||||||||
585,000 | 11.250%, 08/01/2024(c) | 634,216 | ||||||
J2 Global, Inc. | ||||||||
2,000,000 | 4.625%, 10/15/2030(c) | 2,127,500 | ||||||
KBR, Inc. | ||||||||
1,000,000 | 4.750%, 09/30/2028(c) | 1,016,680 | ||||||
Microchip Technology, Inc. | ||||||||
270,000 | 0.983%, 09/01/2024(c) | 269,711 | ||||||
MSCI, Inc. | ||||||||
3,596,000 | 4.000%, 11/15/2029(c) | 3,811,580 | ||||||
940,000 | 3.625%, 09/01/2030(c) | 972,900 | ||||||
794,000 | 3.625%, 11/01/2031(c) | 827,249 | ||||||
285,000 | 3.250%, 08/15/2033(c) | 288,622 | ||||||
PTC, Inc. | ||||||||
4,125,000 | 4.000%, 02/15/2028(c) | 4,238,437 | ||||||
Seagate HDD Cayman | ||||||||
575,000 | 3.125%, 07/15/2029(c) | 556,801 | ||||||
488,000 | 3.375%, 07/15/2031(c) | 475,190 | ||||||
Synaptics, Inc. | ||||||||
1,800,000 | 4.000%, 06/15/2029(c) | 1,843,776 | ||||||
|
| |||||||
30,456,005 | ||||||||
|
| |||||||
Utilities: 0.7% | ||||||||
AES Andres B.V. | ||||||||
200,000 | 5.700%, 05/04/2028(c) | 206,800 | ||||||
AES Argentina Generacion S.A. | ||||||||
150,000 | 7.750%, 02/02/2024 | 133,687 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Utilities (continued) | ||||||||
AES Gener S.A. | ||||||||
$300,000 | 7.125%, 03/26/2079(h) | $ | 318,924 | |||||
Edison International | ||||||||
1,115,000 | 5.375%, 03/15/2026(d)(h) | 1,154,359 | ||||||
Emera US Finance L.P. | ||||||||
3,400,000 | 2.639%, 06/15/2031(c) | 3,407,200 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
400,000 | 4.375%, 02/15/2031 | 396,140 | ||||||
Guacolda Energia S.A. | ||||||||
300,000 | 4.560%, 04/30/2025 | 199,503 | ||||||
Inkia Energy Ltd. | ||||||||
400,000 | 5.875%, 11/09/2027 | 416,860 | ||||||
Instituto Costarricense De Electricidad | ||||||||
200,000 | 6.750%, 10/07/2031(c) | 198,214 | ||||||
Minejesa Capital B.V. | ||||||||
400,000 | 5.625%, 08/10/2037 | 423,100 | ||||||
NextEra Energy Operating Partners L.P. | ||||||||
1,900,000 | 4.250%, 07/15/2024(c) | 2,016,755 | ||||||
Pacific Gas and Electric Co. | ||||||||
300,000 | 4.300%, 03/15/2045 | 295,970 | ||||||
35,000 | 4.950%, 07/01/2050 | 37,149 | ||||||
685,000 | 3.500%, 08/01/2050 | 621,290 | ||||||
Pampa Energia S.A. | ||||||||
150,000 | 9.125%, 04/15/2029(c) | 139,144 | ||||||
|
| |||||||
9,965,095 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 421,493,160 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 2.3% | ||||||||
Brazil Notas do Tesouro Nacional |
| |||||||
| 7,438,000 (BRL) | | Series F | 1,359,579 | ||||
Brazilian Government International Bond | ||||||||
500,000 | 4.750%, 01/14/2050 | 443,025 | ||||||
Colombia Government International Bond | ||||||||
500,000 | 5.000%, 06/15/2045 | 488,115 | ||||||
El Salvador Government International Bond | ||||||||
200,000 | 7.125%, 01/20/2050 | 138,502 | ||||||
Export-Import Bank of Korea | ||||||||
| 22,200,000 (INR) | | 6.750%, 08/09/2022 | 304,705 | ||||
| 114,100,000 (INR) | | 4.890%, 08/09/2023(c) | 1,532,401 | ||||
Financiera de Desarrollo Territorial S.A. | ||||||||
| 3,329,000,000 (COP) | | 7.875%, 08/12/2024(c) | 910,549 | ||||
Mexican Bonos | ||||||||
| 28,809,000 (MXN) | | Series M | 1,417,964 | ||||
Mexico Government International Bond | ||||||||
1,125,000 | 4.280%, 08/14/2041 | 1,147,500 | ||||||
300,000 | 4.500%, 01/31/2050 | 307,785 | ||||||
1,485,000 | 3.771%, 05/24/2061 | 1,319,274 |
Principal Amount^ | Value | |||||||
Provincia de Buenos Aires Government Bonds | ||||||||
| 72,825,000 (ARS) | | 37.989%, 05/31/2022 | $ | 357,825 | |||
| 15,545,000 (ARS) | | 37.897%, 04/12/2025(c) | 67,222 | ||||
Ukraine Government International Bond | ||||||||
400,000 | 7.253%, 03/15/2033 | 406,309 | ||||||
United States Treasury Bond | ||||||||
27,950,000 | 1.625%, 11/15/2050 | 25,044,728 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 35,245,483 | ||||||
|
| |||||||
LIMITED PARTNERSHIPS: 0.1% | ||||||||
35,594 | GACP II L.P.(b) | 1,175,434 | ||||||
1,300,000 | U.S. Farming Realty Trust II L.P.(b) | 910,035 | ||||||
|
| |||||||
| TOTAL LIMITED PARTNERSHIPS | 2,085,469 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 14.6% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
265,383 | Series 2006-1-2A1 | 185,669 | ||||||
Alternative Loan Trust | ||||||||
94,144 | Series 2003-22CB-1A1 | 98,308 | ||||||
356,172 | Series 2004-13CB-A4 | 298,475 | ||||||
54,351 | Series 2004-16CB-1A1 | 56,085 | ||||||
59,117 | Series 2004-16CB-3A1 | 60,935 | ||||||
145,002 | Series 2004-J10-2CB1 | 151,780 | ||||||
43,778 | Series 2005-J1-2A1 | 44,382 | ||||||
2,161,424 | Series 2006-13T1-A13 | 1,427,922 | ||||||
351,196 | Series 2006-31CB-A7 | 278,032 | ||||||
3,685,997 | Series 2006-36T2-2A1 | 2,305,375 | ||||||
435,259 | Series 2006-J1-2A1 | 98,521 | ||||||
197,688 | Series 2007-16CB-2A1 | 71,086 | ||||||
57,245 | Series 2007-16CB-2A2 | 132,894 | ||||||
3,068,205 | Series 2007-16CB-4A1 | 2,318,946 | ||||||
490,945 | Series 2007-16CB-4A2 | 1,013,633 | ||||||
351,836 | Series 2007-19-1A34 | 251,373 | ||||||
986,838 | Series 2007-20-A12 | 754,928 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Alternative Loan Trust (Continued) | ||||||||
$383,637 | Series 2007-22-2A16 | $ | 220,852 | |||||
2,205,502 | Series 2007-HY2-1A | 2,221,580 | ||||||
Alternative Loan Trust Resecuritization | ||||||||
459,524 | Series 2008-2R-2A1 | 297,063 | ||||||
3,267,910 | Series 2008-2R-4A1 | 2,401,185 | ||||||
American Home Mortgage Investment Trust | ||||||||
239,320 | Series 2006-1-11A1 | 232,669 | ||||||
AREIT Trust | ||||||||
1,000,000 | Series 2019-CRE3-D | 983,582 | ||||||
Banc of America Alternative Loan Trust | ||||||||
45,744 | �� | Series 2003-8-1CB1 | 47,686 | |||||
553,269 | Series 2006-7-A4 | 236,474 | ||||||
Banc of America Funding Trust | ||||||||
45,163 | Series 2005-7-3A1 | 49,206 | ||||||
271,079 | Series 2006-B-7A1 | 253,395 | ||||||
2,389,975 | Series 2007-1-TA4 | 2,432,026 | ||||||
38,549 | Series 2007-4-5A1 | 38,454 | ||||||
2,010,617 | Series 2010-R5-1A3 | 1,986,733 | ||||||
Banc of America Mortgage Trust | ||||||||
12,769 | Series 2005-A-2A1 | 13,307 | ||||||
Bancorp Commercial Mortgage Trust | ||||||||
665,000 | Series 2019-CRE5-D | 664,236 | ||||||
BBCMS Mortgage Trust | ||||||||
710,000 | Series 2020-BID-B | 716,506 | ||||||
BBCMS Trust | ||||||||
750,000 | Series 2018-CBM-E | 745,860 | ||||||
BCAP LLC Trust | ||||||||
146,732 | Series 2010-RR6-6A2 | 109,991 | ||||||
2,154,843 | Series 2011-R11-2A4 | 1,720,988 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
3,224,347 | Series 2005-12-25A1 | 2,736,594 |
Principal Amount^ | Value | |||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
$456,570 | Series 2006-AC1-1A1 | $ | 305,409 | |||||
Benchmark Mortgage Trust | ||||||||
547,000 | Series 2020-B18-AGNF | 554,429 | ||||||
BF Mortgage Trust | ||||||||
666,000 | Series 2019-NYT-F | 657,073 | ||||||
BHP Trust | ||||||||
497,000 | Series 2019-BXHP-E | 496,013 | ||||||
BX Commercial Mortgage Trust | ||||||||
1,274,000 | Series 2019-IMC-G | 1,260,408 | ||||||
BX Trust | ||||||||
850,000 | Series 2017-SLCT-F | 856,325 | ||||||
Carbon Capital VI Commercial Mortgage Trust | ||||||||
649,000 | Series 2019-FL2-B | 625,830 | ||||||
CF Trust | ||||||||
1,420,000 | Series 2019-MF1-F | 1,413,332 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
16,323,000 | Series 2016-C7-XE | 735,216 | ||||||
7,346,000 | Series 2016-C7-XF | 320,078 | ||||||
CG-CCRE Commercial Mortgage Trust | ||||||||
103,757 | Series 2014-FL2-COL1 | 95,221 | ||||||
202,574 | Series 2014-FL2-COL2 | 142,211 | ||||||
Chase Mortgage Finance Trust | ||||||||
2,711,786 | Series 2007-S2-1A9 | 1,910,587 | ||||||
1,414,496 | Series 2007-S3-1A15 | 950,738 | ||||||
CIM Trust | ||||||||
585,291 | Series 2021-NR2-A1 | 588,041 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
2,006,242 | Series 2006-7-1A1 | 1,993,553 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
870,000 | Series 2014-GC21-D | 816,207 | ||||||
668,000 | Series 2015-GC27-D | 660,338 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Citigroup Commercial Mortgage Trust (Continued) | ||||||||
$1,497,000 | Series 2018-TBR-F | $ | 1,479,220 | |||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
196,749 | Series 2005-5-2A2 | 158,951 | ||||||
2,073,962 | Series 2005-5-3A2A | 1,456,979 | ||||||
2,101,935 | Series 2011-12-1A2 | 1,550,008 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
184,261 | Series 2006-A5-1A13 | 150,727 | ||||||
182,998 | Series 2006-A5-1A2 | 28,842 | ||||||
1,664,582 | Series 2007-A6-1A5 | 1,675,005 | ||||||
COMM Mortgage Trust | ||||||||
460,000 | Series 2012-CR3-B | 456,307 | ||||||
40,000 | Series 2012-LC4-C | 37,552 | ||||||
1,868,035 | Series 2014-UBS4-F | 353,759 | ||||||
3,353,939 | Series 2014-UBS4-G | 304,118 | ||||||
7,000 | Series 2014-UBS4-V | 1 | ||||||
1,989,000 | Series 2018-HCLV-D | 1,959,172 | ||||||
Connecticut Avenue Securities Trust | ||||||||
216,693 | Series 2020-R01-1M2 | 218,063 | ||||||
Countrywide Home Loan GMSR Issuer Trust | ||||||||
1,980,000 | Series 2018-GT1-A | 1,984,858 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
5,834 | Series 2004-HYB4-2A1 | 5,899 | ||||||
503,776 | Series 2005-23-A1 | 383,016 | ||||||
2,143,151 | Series 2006-9-A1 | 1,479,048 | ||||||
141,877 | Series 2007-10-A5 | 100,146 | ||||||
533,666 | Series 2007-13-A5 | 383,381 | ||||||
Credit Suisse Commercial Mortgage Securities Corp. | ||||||||
140,000 | Series 2019-SKLZ-D | 138,742 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
1,131,360 | Series 2005-11-7A1 | 827,444 |
Principal Amount^ | Value | |||||||
Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates | ||||||||
$36,558 | Series 2003-27-4A4 | $ | 39,220 | |||||
2,361,724 | Series 2005-10-10A3 | 934,484 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
721,658 | Series 2006-6-1A10 | 538,199 | ||||||
650,041 | Series 2007-1-4A1 | 119,848 | ||||||
41,112 | Series 2007-2-2A5 | 38,808 | ||||||
1,146,023 | Series 2011-17R-1A2 | 1,193,225 | ||||||
630,000 | Series 2014-USA-A2 | 676,492 | ||||||
635,000 | Series 2014-USA-D | 606,646 | ||||||
1,475,000 | Series 2014-USA-E | 1,336,744 | ||||||
587,893 | Series 2019-RP10-A1 | 591,525 | ||||||
381,645 | Series 2020-RPL3-A1 | 386,453 | ||||||
1,100,000 | Series 2021-NQM1-B2 | 1,097,037 | ||||||
490,000 | Series 2021-RPL1-A2 | 491,389 | ||||||
DBUBS Mortgage Trust | ||||||||
310,000 | Series 2017-BRBK-D | 320,757 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
4,711,000 | Series 2020-2-B3 | 4,748,577 | ||||||
Deutsche Mortgage and Asset Receiving Corp. | ||||||||
2,225,483 | Series 2014-RS1-1A2 | 2,095,775 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||||||
81,245 | Series 2006-PR1-3A1 | 76,187 | ||||||
DOLP Trust | ||||||||
500,000 | Series 2021-NYC-F | 475,490 | ||||||
500,000 | Series 2021-NYC-G | 452,367 | ||||||
DSLA Mortgage Loan Trust | ||||||||
108,288 | Series 2005-AR5-2A1A | 82,634 | ||||||
Extended Stay America Trust | ||||||||
845,601 | Series 2021-ESH-F | 858,237 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal Home Loan Mortgage Corp. REMICS | ||||||||
$453,620 | Series 3118-SD | $ | 75,777 | |||||
165,282 | Series 3301-MS | 27,891 | ||||||
216,463 | Series 3303-SE | 35,363 | ||||||
140,701 | Series 3303-SG | 27,480 | ||||||
38,007 | Series 3382-SB | 5,223 | ||||||
196,074 | Series 3382-SW | 34,666 | ||||||
46,063 | Series 3384-S | 5,864 | ||||||
122,662 | Series 3384-SG | 26,499 | ||||||
1,536,223 | Series 3404-SA | 287,839 | ||||||
49,917 | Series 3417-SX | 6,147 | ||||||
42,166 | Series 3423-GS | 5,360 | ||||||
349,007 | Series 3423-TG | 3,029 | ||||||
1,939,778 | Series 3435-S | 364,002 | ||||||
43,893 | Series 3445-ES | 2,102 | ||||||
292,227 | Series 3523-SM | 47,569 |
Principal Amount^ | Value | |||||||
$149,640 | Series 3560-KS | $ | 21,222 | |||||
68,597 | Series 3598-SA | 12,214 | ||||||
93,122 | Series 3641-TB | 104,991 | ||||||
278,921 | Series 3728-SV | 34,745 | ||||||
156,624 | Series 3758-S | 27,105 | ||||||
419,920 | Series 3770-SP | 36,485 | ||||||
209,924 | Series 3815-ST | 39,142 | ||||||
455,755 | Series 3859-SI | 92,950 | ||||||
127,667 | Series 3872-SL | 20,645 | ||||||
105,806 | Series 3900-SB | 16,269 | ||||||
21,566 | Series 3946-SM | 31,807 | ||||||
332,540 | Series 3972-AZ | 346,617 | ||||||
1,924,819 | Series 3984-DS | 295,736 | ||||||
4,682,476 | Series 4080-DS | 589,061 | ||||||
1,677,226 | Series 4239-OU | 1,399,127 | ||||||
2,018,503 | Series 4291-MS | 377,834 | ||||||
1,001,644 | Series 4314-MS | 64,984 | ||||||
7,806,946 | Series 5070-MI | 1,148,118 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
$33,741 | Series 2018-DNA1-M2 | $ | 34,042 | |||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||
304,220 | Series 2017-C05-1M2 | 311,196 | ||||||
Federal National Mortgage Association REMICS | ||||||||
214,381 | Series 2003-84-PZ | 241,022 | ||||||
351,445 | Series 2005-42-SA | 32,593 | ||||||
1,560,751 | Series 2006-92-LI | 295,725 | ||||||
17,367 | Series 2007-39-AI | 3,212 | ||||||
120,975 | Series 2007-57-SX | 21,347 | ||||||
24,553 | Series 2007-68-SA | 3,977 | ||||||
27,328 | Series 2008-1-CI | 4,648 | ||||||
1,281,102 | Series 2008-33-SA | 235,057 | ||||||
26,695 | Series 2008-56-SB | 3,549 | ||||||
2,492,344 | Series 2009-110-SD | 437,111 | ||||||
25,423 | Series 2009-111-SE | 4,579 | ||||||
164,762 | Series 2009-86-CI | 13,966 | ||||||
74,929 | Series 2009-87-SA | 14,203 |
Principal Amount^ | Value | |||||||
$42,316 | Series 2009-90-IB | $ | 5,651 | |||||
32,938 | Series 2010-11-SC | 3,694 | ||||||
29,094 | Series 2010-115-SD | 5,307 | ||||||
2,426,478 | Series 2010-123-SK | 466,312 | ||||||
390,884 | Series 2010-134-SE | 28,342 | ||||||
154,220 | Series 2010-15-SL | 21,407 | ||||||
46,760 | Series 2010-9-GS | 4,395 | ||||||
6,420 | Series 2011-110-LS | 7,864 | ||||||
86,808 | Series 2011-111-VZ | 95,559 | ||||||
430,264 | Series 2011-141-PZ | 469,325 | ||||||
27,597 | Series 2011-5-PS | 1,185 | ||||||
1,608,341 | Series 2011-93-ES | 301,226 | ||||||
1,022,964 | Series 2012-106-SA | 198,398 | ||||||
2,478,906 | Series 2014-50-WS | 408,627 | ||||||
9,254,037 | Series 2019-31-S | 1,706,701 | ||||||
18,954,104 | Series 2019-M12-X | 940,326 | ||||||
9,486,811 | Series 2019-M24-2XA | 844,516 | ||||||
27,128,722 | Series 2019-M7-X | 888,623 | ||||||
32,178,536 | Series 2020-M10-X4 | 2,326,344 | ||||||
32,729,849 | Series 2020-M10-X9 | 1,257,170 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal National Mortgage Association REMICS (Continued) | ||||||||
$9,003,790 | Series 2020-M13-X2 | $ | 746,513 | |||||
19,862,940 | Series 2020-M6-X | 638,306 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
645,403 | Series 2006-FA6-1A4 | 422,707 | ||||||
251,042 | Series 2007-FA4-1A7 | 159,326 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
116,914 | Series 2006-1-1A10 | 78,171 | ||||||
FMC GMSR Issuer Trust | ||||||||
1,900,000 | Series 2021-GT1-B | 1,899,891 | ||||||
Fontainebleau Miami Beach Trust | ||||||||
574,000 | Series 2019-FBLU H | 560,072 | ||||||
FREMF Mortgage Trust | ||||||||
1,500,063 | Series 2016-KF14-B | 1,525,510 | ||||||
1,249,773 | Series 2018-KF56-C | 1,263,152 | ||||||
GCAT LLC | ||||||||
713,140 | Series 2020-4-A1 | 717,379 | ||||||
GCAT Trust | ||||||||
69,711 | Series 2019-RPL1-A1 | 71,621 | ||||||
Government National Mortgage Association | ||||||||
26,749,201 | 2.550%, 06/20/2051(f)(n) | 1,711,165 | ||||||
448,395 | Series 2007-21-S | 66,701 | ||||||
155,446 | Series 2008-69-SB | 31,880 | ||||||
181,757 | Series 2009-104-SD | 30,552 | ||||||
166,866 | Series 2010-134-EI | 2,647 | ||||||
23,244 | Series 2010-98-IA | 2,106 | ||||||
287,185 | Series 2011-45-GZ | 306,997 | ||||||
86,937 | Series 2011-69-OC | 81,383 | ||||||
1,764,511 | Series 2011-69-SC | 251,990 |
Principal Amount^ | Value | |||||||
$321,392 | Series 2011-89-SA | $ | 49,574 | |||||
1,237,165 | Series 2013-102-BS | 151,013 | ||||||
25,806,454 | Series 2013-155-IB | 187,468 | ||||||
2,495,519 | Series 2014-145-CS | 332,483 | ||||||
1,536,461 | Series 2014-156-PS | 325,605 | ||||||
3,692,402 | Series 2014-4-SA | 753,426 | ||||||
6,430,496 | Series 2014-41-SA | 1,371,404 | ||||||
2,550,005 | Series 2014-5-SA | 372,075 | ||||||
3,206,367 | Series 2014-58-SG | 520,772 | ||||||
2,548,571 | Series 2014-76-SA | 418,674 | ||||||
3,581,275 | Series 2014-95-CS | 626,839 | ||||||
12,597,195 | Series 2016-162-IO | 619,997 | ||||||
2,968,704 | Series 2018-105-SH | 432,174 | ||||||
33,193,916 | Series 2018-111-SA | 3,366,925 | ||||||
12,849,524 | Series 2018-134-CS | 1,818,687 | ||||||
8,703,147 | Series 2019-22-SA | 1,554,046 | ||||||
9,072,481 | Series 2020-112-BS | 1,653,019 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Government National Mortgage Association (Continued) | ||||||||
$13,914,528 | Series 2020-115-SC | $ | 1,866,726 | |||||
7,358,360 | Series 2020-142-SD | 1,564,092 | ||||||
8,839,065 | Series 2020-146-SH | 1,500,150 | ||||||
10,506,408 | Series 2020-168-IA | 872,933 | ||||||
6,674,945 | Series 2020-188-LS | 1,824,184 | ||||||
12,091,612 | Series 2020-47-SA | 2,111,783 | ||||||
6,934,306 | Series 2020-47-SL | 999,072 | ||||||
7,634,430 | Series 2021-1-QS | 1,613,370 | ||||||
8,936,717 | Series 2021-107-SA | 1,257,784 | ||||||
4,767,734 | Series 2021-117-HI | 514,993 | ||||||
11,386,533 | Series 2021-52-IO | 881,422 | ||||||
5,983,563 | Series 2021-59-S | 428,267 | ||||||
13,052,068 | Series 2021-89-SA | 1,640,565 | ||||||
10,347,683 | Series 2021-97-SB | 1,454,788 | ||||||
GS Mortgage Securities Corp. Trust | ||||||||
1,503,000 | Series 2018-TWR-G | 1,382,149 | ||||||
GS Mortgage Securities Trust | ||||||||
130,000 | Series 2011-GC5-C | 111,784 | ||||||
1,010,000 | Series 2011-GC5-D | 520,150 | ||||||
100,000 | Series 2014-GC18-B | 99,345 | ||||||
1,967,000 | Series 2014-GC26-D | 1,340,505 |
Principal Amount^ | Value | |||||||
GSCG Trust | ||||||||
$710,000 | Series 2019-600C-H | $ | 657,813 | |||||
GSR Mortgage Loan Trust | ||||||||
37,246 | Series 2005-4F-6A1 | 38,099 | ||||||
550,907 | Series 2005-9F-2A1 | 367,363 | ||||||
88,001 | Series 2005-AR6-4A5 | 88,991 | ||||||
240,516 | Series 2006-7F-3A4 | 122,086 | ||||||
HarborView Mortgage Loan Trust | ||||||||
228,918 | Series 2004-11-2A2A | 214,675 | ||||||
3,277,248 | Series 2007-7-2A1B | 3,131,693 | ||||||
Hawaii Hotel Trust | ||||||||
1,297,000 | Series 2019-MAUI-F | 1,296,053 | ||||||
Hospitality Mortgage Trust | ||||||||
1,055,155 | Series 2019-HIT-G | 1,033,851 | ||||||
Impac Secured Assets Trust | ||||||||
5,351,438 | Series 2007-2-1A1C | 4,773,842 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
142,212 | Series 2004-AR7-A5 | 137,361 | ||||||
242,619 | Series 2005-AR11-A3 | 223,991 | ||||||
555,684 | Series 2006-AR2-2A1 | 450,370 | ||||||
3,127,178 | Series 2006-R1-A3 | 3,030,412 | ||||||
1,159,546 | Series 2007-AR5-2A1 | 1,099,354 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
1,285,000 | Series 2011-C3-E | 487,794 | ||||||
390,836 | Series 2011-C5-D | 388,241 | ||||||
135,000 | Series 2012-C8-C | 136,653 | ||||||
310,000 | Series 2012-LC9-C | 315,045 | ||||||
1,531,000 | Series 2019-MFP-F | 1,511,119 | ||||||
683,000 | Series 2019-MFP-G | 671,399 | ||||||
683,000 | Series 2019-MFP-XG | 2,546 | ||||||
219,000 | Series 2019-UES-C | 226,027 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust (Continued) | ||||||||
$224,000 | Series 2019-UES-D | $ | 229,346 | |||||
261,000 | Series 2019-UES-E | 260,865 | ||||||
274,000 | Series 2019-UES-F | 251,365 | ||||||
299,000 | Series 2019-UES-G | 263,125 | ||||||
JP Morgan Mortgage Trust | ||||||||
250,026 | Series 2004-S1-2A1 | 263,169 | ||||||
1,866,507 | Series 2005-ALT1-3A1 | 1,651,069 | ||||||
30,380 | Series 2007-A1-4A2 | 29,808 | ||||||
9,939 | Series 2007-S1-1A2 | 9,898 | ||||||
622,410 | Series 2007-S3-1A97 | 452,138 | ||||||
JP Morgan Resecuritization Trust | ||||||||
7,255,708 | Series 2015-4-1A7 | 5,831,062 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
1,616,000 | Series 2014-C23-D | 1,629,141 | ||||||
300,000 | Series 2014-C23-E | 225,051 | ||||||
78,000 | Series 2015-C27-D | 70,239 | ||||||
4,749,500 | Series 2015-C27-XFG | 185,692 | ||||||
Legacy Mortgage Asset Trust | ||||||||
951,834 | Series 2020-GS1-A1 | 956,536 | ||||||
3,300,000 | Series 2020-GS3-A2 | 3,340,993 | ||||||
181,903 | Series 2020-GS5-A1 | 185,081 | ||||||
Lehman Mortgage Trust | ||||||||
718,138 | Series 2006-2-2A3 | 729,510 | ||||||
Lehman XS Trust | ||||||||
95,501 | Series 2006-2N-1A1 | 88,922 | ||||||
LHOME Mortgage Trust | ||||||||
3,700,000 | Series 2021-RTL1-M | 3,678,209 | ||||||
Master Alternative Loan Trust | ||||||||
25,384 | Series 2003-9-4A1 | 26,279 | ||||||
24,208 | Series 2004-5-1A1 | 25,145 | ||||||
24,548 | Series 2004-5-2A1 | 25,470 | ||||||
99,324 | Series 2004-8-2A1 | 102,917 | ||||||
Mello Warehouse Securitization Trust | ||||||||
1,250,000 | Series 2020-1-G | 1,255,093 |
Principal Amount^ | Value | |||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
$4,821 | Series 2006-2-2A | $ | 4,954 | |||||
Mill City Mortgage Loan Trust | ||||||||
305,000 | Series 2021-NMR1-M3 | 298,488 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
560,000 | Series 2013-C11-B | 417,396 | ||||||
Morgan Stanley Capital I Trust | ||||||||
613,000 | 3.000%, 12/15/2051(c) | 547,638 | ||||||
220,827 | Series 2011-C2-D | 215,717 | ||||||
540,000 | Series 2011-C2-E | 446,739 | ||||||
1,508,000 | Series 2019-PLND-F | 1,421,912 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
1,817,824 | Series 2005-9AR-2A | 1,766,008 | ||||||
2,378,068 | Series 2006-11-2A2 | 1,510,023 | ||||||
298,422 | Series 2006-7-3A | 241,781 | ||||||
234,118 | Series 2007-13-6A1 | 179,848 | ||||||
NewRez Warehouse Securitization Trust | ||||||||
2,200,000 | Series 2021-1-F | 2,207,455 | ||||||
Preston Ridge Partners Mortgage LLC | ||||||||
260,000 | Series 2020-3-A2 | 261,642 | ||||||
1,000,000 | Series 2020-5-A2 | 1,006,499 | ||||||
400,000 | Series 2021-2-A2 | 405,642 | ||||||
683,477 | Series 2021-3-A1 | 691,803 | ||||||
Prime Mortgage Trust | ||||||||
1,058,821 | Series 2006-DR1-2A1 | 1,026,465 | ||||||
Residential Accredit Loans, Inc. | ||||||||
300,257 | Series 2006-QS17-A5 | 292,820 | ||||||
388,301 | Series 2006-QS7-A3 | 364,545 | ||||||
435,517 | Series 2007-QS1-2A10 | 417,552 | ||||||
373,949 | Series 2007-QS8-A8 | 364,392 | ||||||
Residential Asset Securitization Trust | ||||||||
214,520 | Series 2006-A8-1A1 | 183,627 | ||||||
236,585 | Series 2007-A1-A8 | 127,888 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Residential Asset Securitization Trust (Continued) | ||||||||
$15,911,208 | Series 2007-A9-A1 | $ | 3,552,726 | |||||
15,911,644 | Series 2007-A9-A2 | 5,488,785 | ||||||
Residential Funding Mortgage Securities I Trust | ||||||||
338,286 | Series 2006-S4-A5 | 324,987 | ||||||
Starwood Retail Property Trust | ||||||||
235,000 | Series 2014-STAR-C | 101,325 | ||||||
980,000 | Series 2014-STAR-D | 248,598 | ||||||
950,000 | Series 2014-STAR-E | 84,721 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
617,443 | Series 2005-14-A1 | 453,918 | ||||||
280,784 | Series 2005-15-1A1 | 211,498 | ||||||
198,852 | Series 2005-22-3A1 | 162,298 | ||||||
555,642 | Series 2008-1-A2 | 510,400 | ||||||
Structured Asset Securities Corp. Trust | ||||||||
7,144,219 | Series 2007-4-1A3 | 973,632 | ||||||
Tharaldson Hotel Portfolio Trust | ||||||||
1,382,807 | Series 2018-THL-F | 1,350,655 | ||||||
Toorak Mortgage Corp. Ltd. | ||||||||
630,000 | Series 2021-1-A1 | 630,932 | ||||||
TTAN | ||||||||
600,000 | Series 2021-MHC-G | 605,381 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
305,000 | Series 2012-C2-E | 26,901 | ||||||
1,000,000 | Series 2013-C5-C | 996,408 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
471,885 | Series 2006-5-1A5 | 440,500 | ||||||
419,445 | Series 2006-8-A6 | 209,874 | ||||||
2,448,474 | Series 2007-5-A3 | 1,862,772 |
Principal Amount^ | Value | |||||||
Wells Fargo Alternative Loan Trust | ||||||||
$120,634 | Series 2007-PA2-3A1 | $ | 106,095 | |||||
196,155 | Series 2007-PA2-3A2 | 26,398 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
640,000 | Series 2013-LC12-B | 641,768 | ||||||
19,971,000 | Series 2015-C28-XE | 735,634 | ||||||
398,000 | Series 2015-NXS4-D | 398,790 | ||||||
750,000 | Series 2016-C33-D | 712,516 | ||||||
600,000 | Series 2016-C34-C | 575,149 | ||||||
135,000 | Series 2016-C36-B | 134,208 | ||||||
130,000 | Series 2016-C36-C | 115,664 | ||||||
6,406,000 | Series 2017-C42-XE | 441,336 | ||||||
1,225,000 | Series 2019-JWDR-C | 1,227,966 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
79,128 | Series 2006-AR19-A1 | 79,339 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
796,622 | Series 2011-C3-D | 404,047 | ||||||
395,000 | Series 2011-C4-E | 272,090 | ||||||
1,020,000 | Series 2012-C10-C | 896,313 | ||||||
500,000 | Series 2012-C6-D | 504,779 | ||||||
185,000 | Series 2012-C7-C | 140,293 | ||||||
400,000 | Series 2012-C7-D | 288,158 | ||||||
290,000 | Series 2012-C7-E | 54,810 | ||||||
300,000 | Series 2014-C20-B | 312,072 | ||||||
250,000 | Series 2014-C24-B | 253,384 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | 221,815,301 | ||||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
SHORT-TERM INVESTMENTS: 9.8% | ||||||||
REPURCHASE AGREEMENTS: 7.2% | ||||||||
$109,828,213 | Fixed Income Clearing Corp. 0.000%, 9/30/2021, due 10/01/2021 [collateral: par value $112,016,300, U.S. Treasury Note, 1.250%, due 06/30/2028 value $112,028,873] (proceeds $109,828,213) | $ | 109,828,213 | |||||
|
| |||||||
TREASURY BILLS: 2.6% | ||||||||
United States Treasury Bill | ||||||||
2,770,000 | 0.023%, 10/07/2021(o) | 2,769,988 | ||||||
1,440,000 | 0.116%, 11/04/2021(a)(o) | 1,439,839 | ||||||
7,000,000 | 0.038%, 01/27/2022(a)(o) | 6,999,140 | ||||||
4,000,000 | 0.045%, 05/19/2022(a)(o) | 3,998,850 | ||||||
4,000,000 | 0.063%, 07/14/2022(a)(o) | 3,998,014 | ||||||
5,000,000 | 0.066%, 08/11/2022(a)(o) | 4,997,165 | ||||||
3,005,000 | 0.071%, 08/11/2022(o) | 3,003,257 | ||||||
11,990,000 | 0.073%, 09/08/2022(a)(o) | 11,981,742 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 39,187,995 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 149,016,208 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS | 132,274 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(Cost: $1,454,406,029): 99.3% | 1,512,506,257 | |||||||
|
| |||||||
Other Assets in Excess of Liabilities: 0.7% | 9,910,050 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 1,522,416,307 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt | |
BADLARPP | Argentina Badlar Floating Rate Notes | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
EONIA | Euro Overnight Index Average | |
ETF | Exchange Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FEDL01 | Federal Funds Rate | |
LIBOR | London Interbank Offered Rate | |
L.P. | Limited Partnership | |
PIK | Payment-in-kind | |
REMICS | Real Estate Mortgage Investment Conduit | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Over Night Index Average | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. |
(a) | Securities with an aggregate fair value of $149,666,816 have been pledged as collateral for options, total return swaps, credit default swaps, securities sold short and futures positions. | |
(b) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(c) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(d) | Perpetual Call. | |
(e) | Pay-in-kind security. | |
(f) | Floating Interest Rate at September 30, 2021. | |
(g) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2021. | |
(h) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2021. | |
(i) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(j) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(k) | Security is currently in default and/or non-income producing. | |
(l) | When issued security. | |
(m) | Principal Only security. | |
(n) | Interest Only security. Security with a notional or nominal principal amount. | |
(o) | The rate shown represents yield-to-maturity. |
CURRENCY ABBREVIATIONS: | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
INR | Indian Rupee | |
MXN | Mexican Peso | |
SEK | Swedish Krona | |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2021, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||
OneDigital Borrower LLC, 5.250%, 11/16/2027 | $25,000 | $ | 25,136 | $ | 136 |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 1,360,715,000 | ||
|
| |||
Gross unrealized appreciation | 139,177,932 | |||
Gross unrealized depreciation | (81,488,308 | ) | ||
|
| |||
Net unrealized appreciation | $ | 57,689,624 | ||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at September 30, 2021 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Acceleron Pharma, Inc. | Morgan Stanley & Co. | $ | 180.00 | 11/19/2021 | 98 | $ | 1,686,580 | $ | 7,619 | $ | 7,619 | $ | — | |||||||||||||||||
Canadian National Railway Co. | Morgan Stanley & Co. | 120.00 | 10/15/2021 | 456 | 5,273,640 | 45,600 | 283,624 | (238,024 | ) | |||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley & Co. | 437.50 | 10/15/2021 | 54 | 2,294,406 | 34,560 | 31,803 | 2,757 | ||||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley & Co. | 455.00 | 10/15/2021 | 42 | 1,784,538 | 5,670 | 20,574 | (14,904 | ) | |||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley & Co. | 457.50 | 10/15/2021 | 19 | 807,291 | 2,375 | 12,310 | (9,935 | ) | |||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley & Co. | 460.00 | 10/15/2021 | 168 | 7,138,152 | 21,000 | 97,708 | (76,708 | ) | |||||||||||||||||||||
Trillium Therapeutics, Inc. | Morgan Stanley & Co. | 20.00 | 12/17/2021 | 341 | 598,796 | 1,705 | 10,630 | (8,925 | ) | |||||||||||||||||||||
Vici Properties, Inc. | Morgan Stanley & Co. | 30.00 | 10/15/2021 | 558 | 1,585,278 | 8,370 | 51,695 | (43,325 | ) | |||||||||||||||||||||
Zoom Video Communications, Inc. | Morgan Stanley & Co. | 280.00 | 10/1/2021 | 507 | 13,258,050 | 4,563 | 101,238 | (96,675 | ) | |||||||||||||||||||||
Zoom Video Communications, Inc. | Morgan Stanley & Co. | 310.00 | 10/15/2021 | 28 | 732,200 | 812 | 30,762 | (29,950 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options | $ | 132,274 | $ | 647,963 | $ | (515,689 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES SOLD SHORT at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: (6.0)% | ||||||||
(184,381) | Advanced Micro Devices, Inc.* | $ | (18,972,805 | ) | ||||
(31,939) | Aon Plc Class A | (9,127,208 | ) | |||||
(41,177) | Canadian National Railway Co. | (4,762,120 | ) | |||||
(108,755) | Canadian Pacific Railway Ltd. | (7,076,688 | ) | |||||
(3,953) | Forterra, Inc.* | (93,133 | ) | |||||
(8,784) | Goldman Sachs Group, Inc. (The) | (3,320,615 | ) | |||||
(45,290) | II-VI, Inc.* | (2,688,414 | ) | |||||
(59,541) | Marsh & McLennan Cos., Inc. | (9,016,293 | ) | |||||
(3,445) | NortonLifeLock, Inc. | (87,158 | ) | |||||
(6,280) | Penn National Gaming, Inc.* | (455,049 | ) | |||||
(46,002) | S&P Global, Inc. | (19,545,790 | ) | |||||
(19,205) | Softbank Corp. | (260,826 | ) | |||||
(5,946) | Square, Inc. Class A* | (1,426,089 | ) | |||||
(11,325) | Valmet Oyj | (410,933 | ) | |||||
(53,078) | Zoom Video Communications, Inc. Class A* | (13,879,897 | ) | |||||
|
| |||||||
| TOTAL COMMON STOCKS | (91,123,018 | ) | |||||
|
| |||||||
EXCHANGE-TRADED FUNDS: (0.2)% | ||||||||
(644) | iShares Russell 2000 ETF | (140,875 | ) | |||||
(6,554) | SPDR S&P 500 ETF Trust | (2,812,584 | ) | |||||
|
| |||||||
| TOTAL EXCHANGE-TRADED FUNDS | (2,953,459 | ) | |||||
|
| |||||||
Principal Amount^ | ||||||||
CORPORATE BONDS: (0.0)% | ||||||||
Western Digital Corp. | ||||||||
$(372,000) | 4.750%, 02/15/2026 | (412,808 | ) | |||||
|
| |||||||
| TOTAL CORPORATE BONDS | (412,808 | ) | |||||
|
| |||||||
| TOTAL SECURITIES SOLD SHORT | $ | (94,489,285 | ) | ||||
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2021 (Unaudited)
At September 30, 2021, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2021 | Fund Delivering | U.S. $ Value at September 30, 2021 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Bank of America N.A. | 10/26/2021 | USD | $ | 1,931,218 | EUR | $ | 1,889,150 | $ | 42,068 | $ | — | |||||||||||||||
12/2/2021 | USD | 714,246 | BRL | 692,899 | 21,347 | — | ||||||||||||||||||||
Barclays Bank Plc | 10/26/2021 | USD | 585,917 | EUR | 573,347 | 12,570 | — | |||||||||||||||||||
Deutsche Bank AG | 10/29/2021 | USD | 558,802 | GBP | 542,817 | 15,985 | — | |||||||||||||||||||
HSBC Bank USA | 11/17/2021 | USD | 455,750 | EUR | 447,282 | 8,468 | — | |||||||||||||||||||
JPMorgan Chase Bank N.A. | 10/8/2021 | EUR | 524,701 | USD | 531,743 | — | (7,042) | |||||||||||||||||||
10/8/2021 | EUR | 428,599 | USD | 436,028 | — | (7,429) | ||||||||||||||||||||
10/8/2021 | EUR | 792,670 | USD | 801,251 | — | (8,581) | ||||||||||||||||||||
10/8/2021 | EUR | 1,010,555 | USD | 1,031,590 | — | (21,035) | ||||||||||||||||||||
10/8/2021 | EUR | 1,080,823 | USD | 1,108,660 | — | (27,837) | ||||||||||||||||||||
10/8/2021 | EUR | 1,467,690 | USD | 1,497,037 | — | (29,347) | ||||||||||||||||||||
10/8/2021 | EUR | 1,624,939 | USD | 1,660,874 | — | (35,935) | ||||||||||||||||||||
10/8/2021 | USD | 10,668,936 | EUR | 10,423,418 | 245,518 | — | ||||||||||||||||||||
10/8/2021 | USD | 1,326,644 | EUR | 1,292,937 | 33,707 | — | ||||||||||||||||||||
10/8/2021 | USD | 795,778 | EUR | 777,605 | 18,173 | — | ||||||||||||||||||||
10/8/2021 | USD | 785,297 | EUR | 770,514 | 14,783 | — | ||||||||||||||||||||
10/8/2021 | USD | 537,715 | EUR | 525,418 | 12,297 | — | ||||||||||||||||||||
10/8/2021 | USD | 417,017 | EUR | 408,573 | 8,444 | — | ||||||||||||||||||||
10/8/2021 | USD | 307,205 | EUR | 301,033 | 6,172 | — | ||||||||||||||||||||
10/8/2021 | USD | 283,223 | EUR | 277,100 | 6,123 | — | ||||||||||||||||||||
10/8/2021 | USD | 282,509 | EUR | 276,960 | 5,549 | — | ||||||||||||||||||||
10/8/2021 | USD | 250,453 | EUR | 247,222 | 3,231 | — | ||||||||||||||||||||
10/8/2021 | USD | 87,192 | EUR | 84,922 | 2,270 | — | ||||||||||||||||||||
12/21/2021 | EUR | 1,509,668 | USD | 1,512,393 | — | (2,725) | ||||||||||||||||||||
12/21/2021 | EUR | 2,033,438 | USD | 2,050,726 | — | (17,288) | ||||||||||||||||||||
Morgan Stanley & Co. | 10/8/2021 | USD | 941,489 | COP | 928,710 | 12,779 | — | |||||||||||||||||||
12/15/2021 | AUD | 15,185 | USD | 15,415 | — | (230) | ||||||||||||||||||||
12/15/2021 | CAD | 18,232 | USD | 18,108 | 124 | — | ||||||||||||||||||||
12/15/2021 | CAD | 23,677 | USD | 23,570 | 107 | — | ||||||||||||||||||||
12/15/2021 | CAD | 25,730 | USD | 25,816 | — | (86) | ||||||||||||||||||||
12/15/2021 | EUR | 174,275 | USD | 176,595 | — | (2,320) | ||||||||||||||||||||
12/15/2021 | EUR | 151,549 | USD | 154,612 | — | (3,063) | ||||||||||||||||||||
12/15/2021 | EUR | 3,805,527 | USD | 3,887,411 | — | (81,884) | ||||||||||||||||||||
12/15/2021 | SEK | 21,215 | USD | 21,224 | — | (9) | ||||||||||||||||||||
12/15/2021 | SEK | 17,547 | USD | 17,908 | — | (361) | ||||||||||||||||||||
12/15/2021 | USD | 1,474,982 | AUD | 1,445,460 | 29,522 | — | ||||||||||||||||||||
12/15/2021 | USD | 905,361 | AUD | 894,247 | 11,114 | — | ||||||||||||||||||||
12/15/2021 | USD | 37,911 | AUD | 37,239 | 672 | — | ||||||||||||||||||||
12/15/2021 | USD | 41,478 | CAD | 41,436 | 42 | — | ||||||||||||||||||||
12/15/2021 | USD | 19,864 | CAD | 19,889 | — | (25) | ||||||||||||||||||||
12/15/2021 | USD | 1,657,789 | CAD | 1,661,131 | — | (3,342) | ||||||||||||||||||||
12/15/2021 | USD | 13,912,048 | EUR | 13,626,386 | 285,662 | — | ||||||||||||||||||||
12/15/2021 | USD | 273,642 | EUR | 270,051 | 3,591 | — | ||||||||||||||||||||
12/15/2021 | USD | 884,530 | GBP | 861,835 | 22,695 | — | ||||||||||||||||||||
12/15/2021 | USD | 754,658 | GBP | 750,839 | 3,819 | — | ||||||||||||||||||||
12/15/2021 | USD | 1,668,494 | SEK | 1,642,022 | 26,472 | — | ||||||||||||||||||||
12/15/2021 | USD | 247,835 | SEK | 246,315 | 1,520 | — | ||||||||||||||||||||
12/15/2021 | USD | 78,454 | SEK | 77,604 | 850 | — | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 57,612,457 | $ | 57,005,322 | $ | 855,674 | $ | (248,539 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2021 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
2YR U.S. Treasury Notes | 363 | 79,927,106 | $ | 79,879,852 | 12/31/2021 | $ | (47,254 | ) | ||||||||||||
10YR U.S. Treasury Notes | 64 | 8,524,153 | 8,423,000 | 12/21/2021 | (101,153 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (148,407 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
5YR U.S. Treasury Notes | (731 | ) | (90,159,293 | ) | $ | (89,724,540 | ) | 12/31/2021 | $ | 434,753 | ||||||||||
Ultra 10YR U.S. Treasury Notes | (196 | ) | (28,919,254 | ) | (28,469,000 | ) | 12/21/2021 | 450,254 | ||||||||||||
U.S. Long Bond Futures | (119 | ) | (19,361,409 | ) | (18,947,031 | ) | 12/21/2021 | 414,378 | ||||||||||||
Ultra-Long U.S. Treasury Bonds | (76 | ) | (14,891,838 | ) | (14,520,750 | ) | 12/21/2021 | 371,088 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 1,670,473 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | 1,522,066 | ||||||||||||||||||
|
|
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||||||
AES Corp. (The) 2.450%, 01/15/2031 | 12/20/2026 | (5.000% | ) | 0.825% | $ | (7,750,000) | Quarterly | $ | (1,626,467 | ) | $ | (1,653,283 | ) | $ | 26,816 | |||||||||||||||||||||
Alstom S.A. 0.250%, 10/14/2026 | 12/20/2026 | (1.000% | ) | 0.774% | EUR | (8,050,000) | Quarterly | (108,505 | ) | (103,045 | ) | (5,460 | ) | |||||||||||||||||||||||
American Axle & Manufacturing, Inc. 6.250%, 03/15/2026 | 12/20/2026 | (5.000% | ) | 4.251% | $ | (7,050,000) | Quarterly | (227,279 | ) | (292,224 | ) | 64,945 | ||||||||||||||||||||||||
Anglo American Capital Plc 1.625%, 03/11/2026 | 12/20/2026 | (5.000% | ) | 1.163% | EUR | (13,450,000) | Quarterly | (3,043,443 | ) | (3,041,505 | ) | (1,938 | ) | |||||||||||||||||||||||
Apache Corp. 4.875%, 11/15/2027 | 12/20/2026 | (1.000% | ) | 1.839% | $ | (900,000) | Quarterly | 36,512 | 43,875 | (7,363 | ) | |||||||||||||||||||||||||
AT&T, Inc. 3.800%, 02/15/2027 | 12/20/2026 | (1.000% | ) | 0.609% | (9,250,000) | Quarterly | (183,033 | ) | (179,967 | ) | (3,066 | ) | ||||||||||||||||||||||||
Avnet, Inc. 4.875%, 12/01/2022 | 12/20/2026 | (1.000% | ) | 0.919% | (9,450,000) | Quarterly | (37,555 | ) | (98,879 | ) | 61,324 | |||||||||||||||||||||||||
Bank of America Corp. 1.125%, 04/24/2023 | 12/20/2026 | (1.000% | ) | 0.480% | (2,700,000) | Quarterly | (71,646 | ) | (75,124 | ) | 3,478 | |||||||||||||||||||||||||
Barrick Gold Corp. 5.800%, 11/15/2034 | 12/20/2026 | (1.000% | ) | 0.602% | (9,350,000) | Quarterly | (188,109 | ) | (201,265 | ) | 13,156 | |||||||||||||||||||||||||
Bayer AG 0.375%, 07/06/2024 | 12/20/2026 | (1.000% | ) | 0.681% | EUR | (7,950,000) | Quarterly | (152,163 | ) | (150,298 | ) | (1,865 | ) | |||||||||||||||||||||||
Best Buy Co., Inc. 4.450%, 10/01/2028 | 12/20/2026 | (5.000% | ) | 0.490% | $ | (7,650,000) | Quarterly | (1,759,843 | ) | (1,780,685 | ) | 20,842 | ||||||||||||||||||||||||
Boeing Co. (The) 2.600%, 10/30/2025 | 12/20/2026 | (1.000% | ) | 1.066% | (9,500,000) | Quarterly | 31,827 | 61,949 | (30,122 | ) | ||||||||||||||||||||||||||
Bouygues S.A. 3.625%, 01/16/2023 | 12/20/2026 | (1.000% | ) | 0.428% | EUR | (7,750,000) | Quarterly | (269,676 | ) | (270,337 | ) | 661 | ||||||||||||||||||||||||
BP Capital Markets Plc 1.876%, 04/07/2024 | 12/20/2026 | (1.000% | ) | 0.527% | (7,800,000) | Quarterly | (223,523 | ) | (210,539 | ) | (12,984 | ) | ||||||||||||||||||||||||
Campbell Soup Co. 4.150%, 03/15/2028 | 12/20/2026 | (1.000% | ) | 0.472% | $ | (3,600,000) | Quarterly | (96,812 | ) | (96,435 | ) | (377 | ) | |||||||||||||||||||||||
Cardinal Health, Inc. 3.410%, 06/15/2027 | 12/20/2026 | (1.000% | ) | 0.594% | (9,350,000) | Quarterly | (192,088 | ) | (188,731 | ) | (3,357 | ) | ||||||||||||||||||||||||
Carnival Corp. 6.650%, 01/15/2028 | 12/20/2026 | (1.000% | ) | 3.750% | (10,550,000) | Quarterly | 1,291,180 | 1,503,375 | (212,195 | ) | ||||||||||||||||||||||||||
Carrefour S.A. 1.250%, 06/03/2025 | 12/20/2026 | (1.000% | ) | 0.538% | EUR | (4,000,000) | Quarterly | (111,857 | ) | (114,839 | ) | 2,982 | ||||||||||||||||||||||||
CDX North America High Yield Index Series 36 5.000%, 06/20/2026 | 6/20/2026 | (5.000% | ) | 2.868% | $ | (57,000,000) | Quarterly | (5,289,081 | ) | (5,643,000 | ) | 353,919 | ||||||||||||||||||||||||
CDX North America High Yield Index Series 37 5.000%, 12/20/2026 | 12/20/2026 | (5.000% | ) | 3.019% | (13,300,000) | Quarterly | (1,222,789 | ) | (1,258,845 | ) | 36,056 | |||||||||||||||||||||||||
Citigroup, Inc. 2.876%, 07/24/2023 | 12/20/2026 | (1.000% | ) | 0.533% | (6,700,000) | Quarterly | (159,182 | ) | (168,814 | ) | 9,632 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Cleveland-Cliffs, Inc. 1.500%, 01/15/2025 | 12/20/2026 | (5.000% | ) | 2.521% | $ | (8,200,000) | Quarterly | $ | (948,581 | ) | $ | (1,223,118 | ) | $ | 274,537 | |||||||||||||||||||||
Commerzbank AG 1.500%, 09/21/2022 | 12/20/2026 | (1.000% | ) | 0.729% | EUR | (8,000,000) | Quarterly | (285,989 | ) | (122,000 | ) | (163,989 | ) | |||||||||||||||||||||||
Compass Group Plc 1.875%, 01/27/2023 | 12/20/2026 | (1.000% | ) | 0.317% | (5,300,000) | Quarterly | (221,371 | ) | (203,811 | ) | (17,560 | ) | ||||||||||||||||||||||||
Continental AG 0.375%, 06/27/2025 | 12/20/2026 | (1.000% | ) | 0.784% | (7,900,000) | Quarterly | (101,668 | ) | (133,989 | ) | 32,321 | |||||||||||||||||||||||||
Credit Agricole S.A. 3.375%, 01/10/2022 | 12/20/2026 | (1.000% | ) | 0.325% | (4,150,000) | Quarterly | (171,290 | ) | (127,544 | ) | (43,746 | ) | ||||||||||||||||||||||||
Darden Restaurants, Inc. 3.850%, 05/01/2027 | 12/20/2026 | (1.000% | ) | 0.541% | $ | (2,100,000) | Quarterly | (49,006 | ) | (41,728 | ) | (7,278 | ) | |||||||||||||||||||||||
Dow Chemical Co. (The) 7.375%, 11/01/2029 | 12/20/2026 | (1.000% | ) | 0.645% | (9,350,000) | Quarterly | (167,510 | ) | (168,962 | ) | 1,452 | |||||||||||||||||||||||||
DXC Technology Co. 4.125%, 04/15/2025 | 12/20/2026 | (5.000% | ) | 1.017% | (4,350,000) | Quarterly | (863,640 | ) | (872,211 | ) | 8,571 | |||||||||||||||||||||||||
Eastman Chemical Co. 7.600%, 02/01/2027 | 12/20/2026 | (1.000% | ) | 0.590% | (9,350,000) | Quarterly | (194,038 | ) | (199,870 | ) | 5,832 | |||||||||||||||||||||||||
Expedia Group, Inc. 4.500%, 08/15/2024 | 12/20/2026 | (1.000% | ) | 0.929% | (4,250,000) | Quarterly | (14,816 | ) | 14,932 | (29,748 | ) | |||||||||||||||||||||||||
Gap, Inc. (The) 8.875%, 05/15/2027 | 12/20/2026 | (1.000% | ) | 1.853% | (9,900,000) | Quarterly | 408,024 | 313,284 | 94,740 | |||||||||||||||||||||||||||
Holcim Ltd. 3.000%, 11/22/2022 | 12/20/2026 | (1.000% | ) | 0.775% | EUR | (7,950,000) | Quarterly | (106,628 | ) | (116,064 | ) | 9,436 | ||||||||||||||||||||||||
HSBC Holdings Plc 0.875%, 09/06/2024 | 12/20/2026 | (1.000% | ) | 0.571% | (7,850,000) | Quarterly | (203,691 | ) | (245,761 | ) | 42,070 | |||||||||||||||||||||||||
ING Groep N.V. 0.750%, 03/09/2022 | 12/20/2026 | (1.000% | ) | 0.419% | (5,800,000) | Quarterly | (205,048 | ) | (211,453 | ) | 6,405 | |||||||||||||||||||||||||
Intrum AB 3.125%, 07/15/2024 | 12/20/2026 | (5.000% | ) | 2.889% | (3,850,000) | Quarterly | (444,469 | ) | (443,204 | ) | (1,265 | ) | ||||||||||||||||||||||||
KB Home 7.000%, 12/15/2021 | 12/20/2026 | (5.000% | ) | 1.845% | $ | (8,200,000) | Quarterly | (1,243,932 | ) | (1,366,334 | ) | 122,402 | ||||||||||||||||||||||||
Kohl’s Corp. 4.250%, 07/17/2025 | 12/20/2026 | (1.000% | ) | 1.467% | (9,650,000) | Quarterly | 221,832 | 165,692 | 56,140 | |||||||||||||||||||||||||||
Leonardo SpA 1.500%, 06/07/2024 | 12/20/2026 | (5.000% | ) | 1.333% | EUR | (6,800,000) | Quarterly | (1,459,359 | ) | (1,467,814 | ) | 8,455 | ||||||||||||||||||||||||
Lloyds Banking Group Plc 1.000%, 11/09/2023 | 12/20/2026 | (1.000% | ) | 0.456% | (5,300,000) | Quarterly | (175,130 | ) | (180,484 | ) | 5,354 | |||||||||||||||||||||||||
McKesson Corp. 7.650%, 03/01/2027 | 12/20/2026 | (1.000% | ) | 0.471% | $ | (9,100,000) | Quarterly | (245,125 | ) | (242,444 | ) | (2,681 | ) | |||||||||||||||||||||||
MDC Holdings, Inc. 5.500%, 01/15/2024 | 12/20/2026 | (1.000% | ) | 0.937% | (9,500,000) | Quarterly | (29,066 | ) | (48,158 | ) | 19,092 | |||||||||||||||||||||||||
Meritor, Inc. 4.500%, 12/15/2028 | 12/20/2026 | (5.000% | ) | 2.333% | (8,300,000) | Quarterly | (1,041,528 | ) | (1,137,392 | ) | 95,864 | |||||||||||||||||||||||||
Murphy Oil Corp. 7.050%, 05/01/2029 | 12/20/2026 | (1.000% | ) | 3.297% | (1,850,000) | Quarterly | 192,812 | 217,375 | (24,563 | ) | ||||||||||||||||||||||||||
NatWest Group Plc 2.500%, 03/22/2023 | 12/20/2026 | (1.000% | ) | 0.493% | EUR | (5,300,000) | Quarterly | (163,158 | ) | (164,408 | ) | 1,250 | ||||||||||||||||||||||||
Nordstrom, Inc. 6.950%, 03/15/2028 | 12/20/2026 | (1.000% | ) | 2.684% | $ | (10,200,000) | Quarterly | 800,759 | 831,851 | (31,092 | ) | |||||||||||||||||||||||||
NRG Energy, Inc. 7.250%, 05/15/2026 | 12/20/2026 | (5.000% | ) | 1.537% | (4,150,000) | Quarterly | (700,430 | ) | (748,697 | ) | 48,267 | |||||||||||||||||||||||||
Omnicom Group, Inc. / Omnicom Capital, Inc. 3.650%, 11/01/2024 | 12/20/2026 | (1.000% | ) | 0.500% | (6,650,000) | Quarterly | (169,144 | ) | (170,174 | ) | 1,030 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Pitney Bowes, Inc. 4.625%, 03/15/2024 | 12/20/2026 | (1.000% | ) | 4.584% | $ | (10,700,000) | Quarterly | $ | 1,651,164 | $ | 1,578,250 | $ | 72,914 | |||||||||||||||||||||||
Renault S.A. 1.000%, 11/28/2025 | 12/20/2026 | (1.000% | ) | 1.985% | EUR | (4,800,000) | Quarterly | 269,817 | 263,703 | 6,114 | ||||||||||||||||||||||||||
Rite Aid Corp. 7.700%, 02/15/2027 | 12/20/2026 | (5.000% | ) | 10.370% | $ | (3,850,000) | Quarterly | 710,476 | 447,562 | 262,914 | ||||||||||||||||||||||||||
RR Donnelley & Sons Co. 8.250%, 07/01/2027 | 6/20/2026 | (5.000% | ) | 5.071% | (8,650,000) | Quarterly | 28,745 | (1,384 | ) | 30,129 | ||||||||||||||||||||||||||
Saipem Finance International B.V. 3.750%, 09/08/2023 | 12/20/2026 | (5.000% | ) | 3.449% | EUR | (2,800,000) | Quarterly | (231,824 | ) | (233,255 | ) | 1,431 | ||||||||||||||||||||||||
SES S.A. 0.875%, 11/04/2027 | 12/20/2026 | (1.000% | ) | 0.751% | (7,800,000) | Quarterly | (116,130 | ) | (109,331 | ) | (6,799 | ) | ||||||||||||||||||||||||
Southwest Airlines Co. 5.125%, 06/15/2027 | 12/20/2026 | (1.000% | ) | 0.882% | $ | (4,800,000) | Quarterly | (28,218 | ) | (24,072 | ) | (4,146 | ) | |||||||||||||||||||||||
Standard Chartered Plc 1.316%, 09/10/2022 | 12/20/2026 | (1.000% | ) | 0.624% | EUR | (7,700,000) | Quarterly | (174,446 | ) | (215,747 | ) | 41,301 | ||||||||||||||||||||||||
T-Mobile USA, Inc. 4.000%, 04/15/2022 | 12/20/2026 | (5.000% | ) | 0.884% | $ | (7,900,000) | Quarterly | (1,630,424 | ) | (1,622,445 | ) | (7,979 | ) | |||||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 | 12/20/2026 | (1.000% | ) | 1.768% | EUR | (8,400,000) | Quarterly | 371,932 | 353,648 | 18,284 | ||||||||||||||||||||||||||
Telefonaktiebolaget LM Ericsson 4.125%, 05/15/2022 | 12/20/2026 | (1.000% | ) | 0.668% | (7,950,000) | Quarterly | (158,873 | ) | (160,229 | ) | 1,356 | |||||||||||||||||||||||||
Teva Pharmaceutical Finance Co. B.V. 3.650%, 11/10/2021 | 12/20/2026 | (1.000% | ) | 3.209% | $ | (9,950,000) | Quarterly | 1,000,314 | 1,115,812 | (115,498 | ) | |||||||||||||||||||||||||
UniCredit SpA 2.125%, 10/24/2026 | 12/20/2026 | (1.000% | ) | 0.602% | EUR | (7,200,000) | Quarterly | (172,929 | ) | (148,289 | ) | (24,640 | ) | |||||||||||||||||||||||
United Airlines Holdings, Inc. 5.000%, 02/01/2024 | 12/20/2026 | (5.000% | ) | 4.353% | $ | (9,200,000) | Quarterly | (255,029 | ) | (203,151 | ) | (51,878 | ) | |||||||||||||||||||||||
United States Steel Corp. 6.650%, 06/01/2037 | 12/20/2026 | (5.000% | ) | 3.636% | (8,600,000) | Quarterly | (521,168 | ) | (813,814 | ) | 292,646 | |||||||||||||||||||||||||
Valeo 3.250%, 01/22/2024 | 12/20/2026 | (1.000% | ) | 1.354% | EUR | (8,100,000) | Quarterly | 168,438 | 158,792 | 9,646 | ||||||||||||||||||||||||||
Valero Energy Corp. 8.750%, 06/15/2030 | 12/20/2026 | (1.000% | ) | 0.934% | $ | (9,400,000) | Quarterly | (29,968 | ) | 16,494 | (46,462 | ) | ||||||||||||||||||||||||
Vivendi SE 1.875%, 05/26/2026 | 12/20/2026 | (1.000% | ) | 0.751% | EUR | (7,900,000) | Quarterly | (117,695 | ) | (113,758 | ) | (3,937 | ) | |||||||||||||||||||||||
Vodafone Group Plc 1.750%, 08/25/2023 | 12/20/2026 | (1.000% | ) | 0.546% | (7,950,000) | Quarterly | (218,192 | ) | (233,640 | ) | 15,448 | |||||||||||||||||||||||||
Wells Fargo & Co. 3.069%, 01/24/2023 | 12/20/2026 | (1.000% | ) | 0.506% | $ | (6,800,000) | Quarterly | (170,986 | ) | (184,844 | ) | 13,858 | ||||||||||||||||||||||||
Whirlpool Corp. 4.700%, 06/01/2022 | 12/20/2026 | (1.000% | ) | 0.687% | (3,050,000) | Quarterly | (48,126 | ) | (52,549 | ) | 4,423 | |||||||||||||||||||||||||
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Total Buy Protection | $ | (20,857,844 | ) | $ | (22,193,349 | ) | $ | 1,335,505 | ||||||||||||||||||||||||||||
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Accor S.A. 3.625%, 09/17/2023 | 12/20/2026 | 1.000% | 1.510% | EUR | 8,400,000 | Quarterly | $ | (249,493 | ) | $ | (246,490 | ) | $ | (3,003 | ) | |||||||||||||||||||||
ADLER Real Estate AG 1.500%, 12/06/2021 | 12/20/2026 | 5.000% | 6.529% | 3,400,000 | Quarterly | (244,274 | ) | 309,397 | (553,671 | ) | ||||||||||||||||||||||||||
Advanced Micro Devices, Inc. 7.500%, 08/15/2022 | 12/20/2026 | 5.000% | 0.532% | $ | 3,400,000 | Quarterly | 773,499 | 778,642 | (5,143 | ) | ||||||||||||||||||||||||||
Altria Group, Inc. 2.625%, 09/16/2026 | 12/20/2026 | 1.000% | 0.570% | 9,300,000 | Quarterly | 202,740 | 225,957 | (23,217 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Anglo American Capital Plc 1.625%, 03/11/2026 | 12/20/2026 | 5.000% | 1.163% | EUR | 6,600,000 | Quarterly | $ | 1,493,437 | $ | 1,615,369 | $ | (121,932 | ) | |||||||||||||||||||||||
Apache Corp. 4.875%, 11/15/2027 | 12/20/2026 | 1.000% | 1.839% | $ | 900,000 | Quarterly | (36,512 | ) | (38,250 | ) | 1,738 | |||||||||||||||||||||||||
ArcelorMittal S.A. 1.000%, 05/19/2023 | 12/20/2026 | 5.000% | 1.367% | EUR | 6,650,000 | Quarterly | 1,411,802 | 1,508,408 | (96,606 | ) | ||||||||||||||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 | 12/20/2026 | 1.000% | 0.541% | 7,850,000 | Quarterly | 218,166 | 214,967 | 3,199 | ||||||||||||||||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 5.250%, 03/15/2025 | 12/20/2026 | 5.000% | 2.405% | $ | 8,350,000 | Quarterly | 1,016,625 | 963,146 | 53,479 | |||||||||||||||||||||||||||
Bath & Body Works, Inc. 5.625%, 10/15/2023 | 12/20/2026 | 1.000% | 1.545% | 9,600,000 | Quarterly | (256,427 | ) | (161,495 | ) | (94,932 | ) | |||||||||||||||||||||||||
Bausch Health Cos., Inc. 7.000%, 01/15/2028 | 12/20/2026 | 5.000% | 4.182% | 2,900,000 | Quarterly | 102,516 | 107,307 | (4,791 | ) | |||||||||||||||||||||||||||
Block Financial LLC 5.500%, 11/01/2022 | 12/20/2026 | 5.000% | 0.834% | 7,850,000 | Quarterly | 1,642,964 | 1,638,369 | 4,595 | ||||||||||||||||||||||||||||
Bombardier, Inc. 7.450%, 05/01/2034 | 12/20/2026 | 5.000% | 3.568% | 8,900,000 | Quarterly | 568,378 | 522,072 | 46,306 | ||||||||||||||||||||||||||||
British Telecommunications Plc 5.750%, 12/07/2028 | 12/20/2026 | 1.000% | 0.825% | EUR | 7,950,000 | Quarterly | 82,768 | 93,648 | (10,880 | ) | ||||||||||||||||||||||||||
Canadian Natural Resources Ltd. 3.450%, 11/15/2021 | 12/20/2026 | 1.000% | 0.653% | $ | 1,000,000 | Quarterly | 17,547 | 15,713 | 1,834 | |||||||||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 5.000%, 02/01/2028 | 12/20/2026 | 5.000% | 1.418% | 8,050,000 | Quarterly | 1,412,658 | 1,511,650 | (98,992 | ) | |||||||||||||||||||||||||||
Centrica Plc 4.000%, 10/16/2023 | 12/20/2026 | 1.000% | 0.776% | EUR | 8,050,000 | Quarterly | 107,950 | 103,428 | 4,522 | |||||||||||||||||||||||||||
Cie de Saint-Gobain 0.875%, 09/21/2023 | 12/20/2026 | 1.000% | 0.412% | 4,350,000 | Quarterly | 155,800 | 167,068 | (11,268 | ) | |||||||||||||||||||||||||||
Cie Generale des Etablissements Michelin SCA 1.125%, 05/28/2022 | 12/20/2026 | 1.000% | 0.344% | 4,200,000 | Quarterly | 168,303 | 178,364 | (10,061 | ) | |||||||||||||||||||||||||||
Dell, Inc. 7.100%, 04/15/2028 | 12/20/2026 | 1.000% | 0.690% | $ | 9,250,000 | Quarterly | 144,518 | 98,349 | 46,169 | |||||||||||||||||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 | 12/20/2026 | 1.000% | 1.009% | 9,550,000 | Quarterly | (5,184 | ) | (46,573 | ) | 41,389 | ||||||||||||||||||||||||||
DISH DBS Corp. 7.375%, 07/01/2028 | 12/20/2026 | 5.000% | 3.563% | 8,900,000 | Quarterly | 570,614 | 626,594 | (55,980 | ) | |||||||||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 | 12/20/2026 | 1.000% | 0.482% | 5,500,000 | Quarterly | 145,239 | 162,726 | (17,487 | ) | |||||||||||||||||||||||||||
Enbridge, Inc. 3.500%, 06/10/2024 | 12/20/2026 | 1.000% | 0.637% | 9,350,000 | Quarterly | 171,916 | 183,387 | (11,471 | ) | |||||||||||||||||||||||||||
Eni SpA 2.625%, 11/22/2021 | 12/20/2026 | 1.000% | 0.523% | EUR | 4,050,000 | Quarterly | 116,948 | 118,338 | (1,390 | ) | ||||||||||||||||||||||||||
Eni SpA 1.750%, 01/18/2024 | 12/20/2026 | 1.000% | 0.523% | 1,400,000 | Quarterly | 40,426 | 40,041 | 385 | ||||||||||||||||||||||||||||
Ford Motor Co. 4.346%, 12/08/2026 | 12/20/2026 | 5.000% | 1.851% | $ | 8,200,000 | Quarterly | 1,242,082 | 1,246,679 | (4,597 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||||
Freeport-McMoRan, Inc. 3.550%, 03/01/2022 | 12/20/2026 | 1.000% | 1.316% | $ | 9,500,000 | Quarterly | $ | (149,153 | ) | $ | (81,605 | ) | $ | (67,548 | ) | |||||||||||||||||||||
General Electric Co. 2.700%, 10/09/2022 | 12/20/2026 | 1.000% | 0.764% | 5,150,000 | Quarterly | 61,068 | 63,793 | (2,725 | ) | |||||||||||||||||||||||||||
Glencore Finance Europe Ltd. 1.875%, 09/13/2023 | 12/20/2026 | 5.000% | 1.247% | EUR | 6,650,000 | Quarterly | 1,466,361 | 1,557,439 | (91,078 | ) | ||||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) 2.908%, 06/05/2023 | 12/20/2026 | 1.000% | 0.582% | $ | 5,700,000 | Quarterly | 120,769 | 134,648 | (13,879 | ) | ||||||||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 | 12/20/2026 | 5.000% | 2.125% | 8,350,000 | Quarterly | 1,140,090 | 1,179,464 | (39,374 | ) | |||||||||||||||||||||||||||
Hapag-Lloyd AG 2.500%, 04/15/2028 | 12/20/2026 | 5.000% | 1.561% | EUR | 6,900,000 | Quarterly | 1,375,044 | 1,475,572 | (100,528 | ) | ||||||||||||||||||||||||||
HCA, Inc. 5.875%, 02/15/2026 | 12/20/2026 | 5.000% | 0.853% | $ | 7,700,000 | Quarterly | 1,602,867 | 1,666,010 | (63,143 | ) | ||||||||||||||||||||||||||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 | 12/20/2026 | 1.000% | 1.390% | 5,800,000 | Quarterly | (111,745 | ) | (77,703 | ) | (34,042 | ) | |||||||||||||||||||||||||
iStar, Inc. 4.250%, 08/01/2025 | 12/20/2026 | 5.000% | 2.365% | 5,750,000 | Quarterly | 712,336 | 786,452 | (74,116 | ) | |||||||||||||||||||||||||||
Johnson Controls International Plc 3.625%, 07/02/2024 | 12/20/2026 | 1.000% | 0.375% | 7,000,000 | Quarterly | 224,017 | 225,487 | (1,470 | ) | |||||||||||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 | 12/20/2026 | 1.000% | 0.771% | EUR | 7,950,000 | Quarterly | 108,774 | 127,371 | (18,597 | ) | ||||||||||||||||||||||||||
Lennar Corp. 4.875%, 12/15/2023 | 12/20/2026 | 5.000% | 0.863% | $ | 3,350,000 | Quarterly | 695,572 | 726,481 | (30,909 | ) | ||||||||||||||||||||||||||
Lincoln National Corp. 3.350%, 03/09/2025 | 12/20/2026 | 1.000% | 0.731% | 9,400,000 | Quarterly | 126,889 | 141,854 | (14,965 | ) | |||||||||||||||||||||||||||
Lumen Technologies, Inc. 7.500%, 04/01/2024 | 12/20/2026 | 1.000% | 2.998% | 10,400,000 | Quarterly | (955,231 | ) | (927,353 | ) | (27,878 | ) | |||||||||||||||||||||||||
Macy’s Retail Holdings LLC 3.625%, 06/01/2024 | 12/20/2026 | 1.000% | 2.469% | 2,900,000 | Quarterly | (200,385 | ) | (151,397 | ) | (48,988 | ) | |||||||||||||||||||||||||
Marks & Spencer Plc 4.250%, 12/08/2023 | 12/20/2026 | 1.000% | 1.653% | EUR | 8,450,000 | Quarterly | (319,606 | ) | (292,126 | ) | (27,480 | ) | ||||||||||||||||||||||||
Marriott International, Inc. 2.300%, 01/15/2022 | 12/20/2026 | 1.000% | 0.764% | $ | 9,400,000 | Quarterly | 111,124 | 77,254 | 33,870 | |||||||||||||||||||||||||||
MBIA, Inc. 6.625%, 10/01/2028 | 12/20/2026 | 5.000% | 4.368% | 6,350,000 | Quarterly | 172,006 | 234,108 | (62,102 | ) | |||||||||||||||||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 | 12/20/2026 | 1.000% | 0.564% | 9,200,000 | Quarterly | 203,551 | 214,917 | (11,366 | ) | |||||||||||||||||||||||||||
MGIC Investment Corp. 5.750%, 08/15/2023 | 12/20/2026 | 5.000% | 1.402% | 8,050,000 | Quarterly | 1,420,062 | 1,446,037 | (25,975 | ) | |||||||||||||||||||||||||||
MGM Resorts International 5.750%, 06/15/2025 | 12/20/2026 | 5.000% | 2.282% | 8,250,000 | Quarterly | 1,058,702 | 1,204,227 | (145,525 | ) | |||||||||||||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 | 12/20/2026 | 1.000% | 0.461% | 9,150,000 | Quarterly | 251,400 | 274,109 | (22,709 | ) | |||||||||||||||||||||||||||
Murphy Oil Corp. 7.050%, 05/01/2029 | 12/20/2026 | 1.000% | 3.297% | 1,850,000 | Quarterly | (192,812 | ) | (189,625 | ) | (3,187 | ) | |||||||||||||||||||||||||
Navient Corp. 5.500%, 01/25/2023 | 12/20/2026 | 5.000% | 3.269% | 8,400,000 | Quarterly | 657,475 | 997,469 | (339,994 | ) | |||||||||||||||||||||||||||
Next Group Plc 3.625%, 05/18/2028 | 12/20/2026 | 1.000% | 0.773% | EUR | 7,900,000 | Quarterly | 107,244 | 100,980 | 6,264 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Occidental Petroleum Corp. 5.550%, 03/15/2026 | 12/20/2026 | 1.000% | 1.808% | $ | 4,800,000 | Quarterly | $ | (187,435 | ) | $ | (204,000 | ) | $ | 16,565 | ||||||||||||||||||||
Olin Corp. 5.500%, 08/15/2022 | 12/20/2026 | 1.000% | 1.835% | 9,800,000 | Quarterly | (395,724 | ) | (275,039 | ) | (120,685 | ) | |||||||||||||||||||||||
OneMain Finance Corp. 5.625%, 03/15/2023 | 12/20/2026 | 5.000% | 2.353% | 8,000,000 | Quarterly | 996,448 | 1,075,893 | (79,445 | ) | |||||||||||||||||||||||||
Premier Foods Finance Plc 3.500%, 10/15/2026 | 12/20/2026 | 5.000% | 1.998% | EUR | 7,050,000 | Quarterly | 1,203,281 | 1,342,682 | (139,401 | ) | ||||||||||||||||||||||||
Prudential Financial, Inc. 3.878%, 03/27/2028 | 12/20/2026 | 1.000% | 0.563% | $ | 2,000,000 | Quarterly | 44,381 | 43,659 | 722 | |||||||||||||||||||||||||
Publicis Groupe S.A. 1.125%, 12/16/2021 | 12/20/2026 | 1.000% | 0.607% | EUR | 7,650,000 | Quarterly | 181,519 | 187,184 | (5,665 | ) | ||||||||||||||||||||||||
Publicis Groupe S.A. 0.500%, 11/03/2023 | 12/20/2026 | 1.000% | 0.607% | 350,000 | Quarterly | 8,305 | 8,624 | (319 | ) | |||||||||||||||||||||||||
Rexel S.A. 2.750%, 06/15/2026 | 12/20/2026 | 5.000% | 1.118% | 3,350,000 | Quarterly | 768,417 | 787,494 | (19,077 | ) | |||||||||||||||||||||||||
Rolls-Royce Plc 0.875%, 05/09/2024 | 12/20/2026 | 1.000% | 1.895% | 8,600,000 | Quarterly | (440,863 | ) | (538,733 | ) | 97,870 | ||||||||||||||||||||||||
RR Donnelley & Sons Co. 8.250%, 07/01/2027 | 6/20/2026 | 5.000% | 5.071% | $ | 8,650,000 | Quarterly | (28,746 | ) | 103,392 | (132,138 | ) | |||||||||||||||||||||||
Saipem Finance International B.V. 3.750%, 09/08/2023 | 12/20/2026 | 5.000% | 3.449% | EUR | 2,800,000 | Quarterly | 231,824 | 256,583 | (24,759 | ) | ||||||||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 | 12/20/2026 | 1.000% | 0.606% | $ | 9,200,000 | Quarterly | 183,262 | 211,305 | (28,043 | ) | ||||||||||||||||||||||||
Simon Property Group L.P. 2.750%, 06/01/2023 | 12/20/2026 | 1.000% | 0.660% | 9,400,000 | Quarterly | 161,454 | 162,325 | (871 | ) | |||||||||||||||||||||||||
Stellantis N.V. 5.250%, 04/15/2023 | 12/20/2026 | 5.000% | 1.051% | EUR | 6,650,000 | Quarterly | 1,556,112 | 1,656,486 | (100,374 | ) | ||||||||||||||||||||||||
Sudzucker International Finance B.V. 1.250%, 11/29/2023 | 12/20/2026 | 1.000% | 0.916% | 8,000,000 | Quarterly | 39,389 | 33,386 | 6,003 | ||||||||||||||||||||||||||
Teck Resources Ltd. 6.125%, 10/01/2035 | 12/20/2026 | 5.000% | 1.208% | $ | 8,000,000 | Quarterly | 1,499,854 | 1,507,629 | (7,775 | ) | ||||||||||||||||||||||||
Telefonica Emisiones S.A. 1.528%, 01/17/2025 | 12/20/2026 | 1.000% | 0.605% | EUR | 8,000,000 | Quarterly | 190,836 | 200,727 | (9,891 | ) | ||||||||||||||||||||||||
Tenet Healthcare Corp. 6.875%, 11/15/2031 | 12/20/2026 | 5.000% | 2.674% | $ | 8,550,000 | Quarterly | 922,729 | 981,824 | (59,095 | ) | ||||||||||||||||||||||||
Tesco Plc 6.150%, 11/15/2037 | 12/20/2026 | 1.000% | 0.699% | EUR | 8,000,000 | Quarterly | 144,305 | 151,545 | (7,240 | ) | ||||||||||||||||||||||||
Tesla, Inc. 5.300%, 08/15/2025 | 12/20/2026 | 1.000% | 1.248% | $ | 2,900,000 | Quarterly | (35,765 | ) | (30,020 | ) | (5,745 | ) | ||||||||||||||||||||||
UBS Group AG 3.491%, 05/23/2023 | 12/20/2026 | 1.000% | 0.431% | EUR | 7,700,000 | Quarterly | 266,888 | 274,094 | (7,206 | ) | ||||||||||||||||||||||||
United Rentals North America, Inc. 4.875%, 01/15/2028 | 12/20/2026 | 5.000% | 1.090% | $ | 7,950,000 | Quarterly | 1,544,332 | 1,568,397 | (24,065 | ) | ||||||||||||||||||||||||
Uniti Group L.P. / Uniti Fiber Holdings, Inc. / CSL Capital LLC 7.125%, 12/15/2024 | 12/20/2026 | 5.000% | 3.209% | 8,700,000 | Quarterly | 705,487 | 774,576 | (69,089 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Vivendi SE 1.875%, 05/26/2026 | 12/20/2026 | 1.000% | 0.751% | EUR | 7,900,000 | Quarterly | $ | 117,695 | $ | 165,844 | $ | (48,149 | ) | |||||||||||||||||||||
Wendel SE 2.750%, 10/02/2024 | 12/20/2026 | 5.000% | 0.624% | 6,500,000 | Quarterly | 1,717,583 | 1,771,060 | (53,477 | ) | |||||||||||||||||||||||||
Xerox Corp. 3.800%, 05/15/2024 | 12/20/2026 | 1.000% | 2.819% | $ | 6,900,000 | Quarterly | (581,188 | ) | (448,725 | ) | (132,463 | ) | ||||||||||||||||||||||
Yum! Brands, Inc. 7.750%, 04/01/2025 | 12/20/2026 | 1.000% | 1.110% | 9,550,000 | Quarterly | (53,111 | ) | 18,500 | (71,611 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Sell Protection |
| $ | 31,462,694 | $ | 34,637,366 | $ | (3,174,672 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | 10,604,850 | $ | 12,444,017 | $ | (1,839,167 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 36 and CDX North America High Yield Index Series 37. |
(4) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||||||
Mexico Government International Bond 4.150%, 03/28/2027 | 6/20/2026 | Barclays Bank Plc | (1.000 | %) | 0.915% | $ | (5,710,000 | ) | Quarterly | $ | (22,269 | ) | $ | 22,998 | $ | (45,267 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Buy Protection |
| $ | (22,269 | ) | $ | 22,998 | $ | (45,267 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS |
| |||||||||||||||||||||||||||||||||
Referenced Obligation | Maturity Date | Counterparty | Fund Pays/ Receives Floating Rate | Floating Rate | Notional Amount(1) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Direct Line Insurance Group Plc EUR | 5/28/2022 | Goldman Sachs & Co. | Pays | 1 Month EONIA + 0.500% | EUR | (95,736 | ) | Monthly | $ | — | $ | — | $ | — | ||||||||||||||||||||
Equiniti Group Plc GBP | 4/28/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIA + 0.700% | GBP | (1,000,440 | ) | Monthly | 1,507 | — | 1,507 | |||||||||||||||||||||||
Gamesys Group Plc GBP | 3/25/2022 | Goldman Sachs & Co. | Pays | 1 Month GBP LIBOR + 0.750% | (1,025,552 | ) | Monthly | 3,507 | — | 3,507 | ||||||||||||||||||||||||
GCP Student Living Plc GBP | 7/16/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.900% | (652,315 | ) | Monthly | (6,122 | ) | — | (6,122 | ) | ||||||||||||||||||||||
John Laing Group Plc GBP | 5/19/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIA + 0.490% | (1,607,163 | ) | Monthly | 10,807 | — | 10,807 | ||||||||||||||||||||||||
Meggitt Plc GBP | 8/2/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.550% | (1,595,828 | ) | Monthly | (131,695 | ) | — | (131,695 | ) |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)(Continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation | Maturity Date | Counterparty | Fund Pays/ Receives Floating Rate | Floating Rate | Notional Amount(1) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Sanne Group Plc GBP | 6/14/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.450% | $ | (1,067,408 | ) | Monthly | $ | (41,739 | ) | $ | — | $ | (41,739 | ) | ||||||||||||||||||
Spire Healthcare Group Plc GBP | 5/26/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.900% | (743,387 | ) | Monthly | (123,561 | ) | — | (123,561 | ) | ||||||||||||||||||||||
UDG Healthcare Plc GBP | 4/30/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIA + 0.500% | (2,304,484 | ) | Monthly | 2,880 | — | 2,880 | ||||||||||||||||||||||||
Ultra Electronics Holdings Plc GBP | 7/23/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIA + 0.450% | (529,387 | ) | Monthly | 7,571 | — | 7,571 | ||||||||||||||||||||||||
WM Morrison Supermarkets GBP | 6/30/2022 | Goldman Sachs & Co. | Pays | 1 Month SONIA + 0.400% | (3,335,610 | ) | Monthly | 33,787 | — | 33,787 | ||||||||||||||||||||||||
iBoxx USD Liquid High Yield USD | 12/20/2021 | JPMorgan Chase Bank N.A. | Receives | 3 Month USD LIBOR + 0.000% | $ | 140,000,000 | Quarterly | 255,998 | — | 255,998 | ||||||||||||||||||||||||
Gamesys Group Plc GBP | 3/25/2022 | Morgan Stanley & Co. | Pays | 1 Month SONIA + 0.940% | GBP | (507,467 | ) | Monthly | 1,853 | — | 1,853 | |||||||||||||||||||||||
iShares Russell 2000 Value ETF USD | 2/28/2022 | Morgan Stanley & Co. | Receives | FEDL01 - 0.400% | $ | 1,030,195 | Monthly | 32,695 | — | 32,695 | ||||||||||||||||||||||||
Vici Properties, Inc. USD | 8/31/2022 | Morgan Stanley & Co. | Receives | FEDL01 - 0.400% | 2,946,917 | Monthly | 115,605 | — | 115,605 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | 163,093 | $ | — | $ | 163,093 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Notional amounts are denominated in foreign currency where indicated. |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2021 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Accenture Plc | Morgan Stanley & Co. | $ | 350.00 | 10/15/2021 | (4 | ) | $ | (127,968 | ) | $ | (140 | ) | $ | (1,167 | ) | $ | 1,027 | |||||||||||||
American Tower Corp. | Morgan Stanley & Co. | 300.00 | 10/15/2021 | (3 | ) | (79,623 | ) | (38 | ) | (860 | ) | 822 | ||||||||||||||||||
Apple, Inc. | Morgan Stanley & Co. | 160.00 | 10/15/2021 | (10 | ) | (141,500 | ) | (60 | ) | (1,667 | ) | 1,607 | ||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley & Co. | 145.00 | 10/15/2021 | (11 | ) | (141,603 | ) | (264 | ) | (1,801 | ) | 1,537 | ||||||||||||||||||
Blackstone, Inc. | Morgan Stanley & Co. | 125.00 | 10/15/2021 | (12 | ) | (139,608 | ) | (792 | ) | (1,906 | ) | 1,114 | ||||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley & Co. | 70.00 | 10/15/2021 | (15 | ) | (88,755 | ) | (45 | ) | (1,646 | ) | 1,601 | ||||||||||||||||||
Comcast Corp. | Morgan Stanley & Co. | 62.50 | 10/15/2021 | (18 | ) | (100,674 | ) | (108 | ) | (1,165 | ) | 1,057 | ||||||||||||||||||
ConocoPhillips | Morgan Stanley & Co. | 60.00 | 10/15/2021 | (9 | ) | (60,993 | ) | (7,740 | ) | (819 | ) | (6,921 | ) | |||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley & Co. | 480.00 | 10/15/2021 | (3 | ) | (134,805 | ) | (207 | ) | (1,070 | ) | 863 | ||||||||||||||||||
Deere & Co. | Morgan Stanley & Co. | 390.00 | 10/15/2021 | (3 | ) | (100,521 | ) | (54 | ) | (1,590 | ) | 1,536 | ||||||||||||||||||
Fox Corp. | Morgan Stanley & Co. | 40.00 | 10/15/2021 | (37 | ) | (148,407 | ) | (4,810 | ) | (1,500 | ) | (3,310 | ) | |||||||||||||||||
Goldman Sachs Group, Inc. (The) | Morgan Stanley & Co. | 435.00 | 10/15/2021 | (3 | ) | (113,409 | ) | (87 | ) | (1,460 | ) | 1,373 | ||||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley & Co. | 345.00 | 10/15/2021 | (5 | ) | (164,130 | ) | (540 | ) | (1,174 | ) | 634 | ||||||||||||||||||
Intuit, Inc. | Morgan Stanley & Co. | 580.00 | 10/15/2021 | (2 | ) | (107,902 | ) | (264 | ) | (1,901 | ) | 1,637 | ||||||||||||||||||
Iron Mountain, Inc. | Morgan Stanley & Co. | 47.50 | 10/15/2021 | (22 | ) | (95,590 | ) | (132 | ) | (1,294 | ) | 1,162 | ||||||||||||||||||
JPMorgan Chase & Co. | Morgan Stanley & Co. | 165.00 | 10/15/2021 | (9 | ) | (147,321 | ) | (2,601 | ) | (1,959 | ) | (642 | ) | |||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley & Co. | 220.00 | 10/15/2021 | (3 | ) | (60,858 | ) | (60 | ) | (460 | ) | 400 | ||||||||||||||||||
Microsoft Corp. | Morgan Stanley & Co. | 320.00 | 10/15/2021 | (3 | ) | (84,576 | ) | (30 | ) | (740 | ) | 710 | ||||||||||||||||||
Morgan Stanley & Co. | Morgan Stanley & Co. | 110.00 | 10/15/2021 | (16 | ) | (155,696 | ) | (224 | ) | (2,508 | ) | 2,284 | ||||||||||||||||||
Nike, Inc. | Morgan Stanley & Co. | 180.00 | 10/15/2021 | (9 | ) | (130,707 | ) | (45 | ) | (2,662 | ) | 2,617 | ||||||||||||||||||
NVIDIA Corp. | Morgan Stanley & Co. | 247.50 | 10/15/2021 | (6 | ) | (124,296 | ) | (114 | ) | (1,702 | ) | 1,588 | ||||||||||||||||||
NXP Semiconductors N.V. | Morgan Stanley & Co. | 230.00 | 10/15/2021 | (7 | ) | (137,109 | ) | (77 | ) | (2,357 | ) | 2,280 | ||||||||||||||||||
Oracle Corp. | Morgan Stanley & Co. | 95.00 | 10/15/2021 | (16 | ) | (139,408 | ) | (144 | ) | (2,060 | ) | 1,916 | ||||||||||||||||||
Pfizer, Inc. | Morgan Stanley & Co. | 55.00 | 10/15/2021 | (20 | ) | (86,020 | ) | (20 | ) | (1,274 | ) | 1,254 | ||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley & Co. | 150.00 | 10/15/2021 | (7 | ) | (97,860 | ) | (77 | ) | (516 | ) | 439 | ||||||||||||||||||
Ross Stores, Inc. | Morgan Stanley & Co. | 135.00 | 10/15/2021 | (8 | ) | (87,080 | ) | (80 | ) | (942 | ) | 862 | ||||||||||||||||||
Target Corp. | Morgan Stanley & Co. | 270.00 | 10/15/2021 | (4 | ) | (91,508 | ) | (20 | ) | (767 | ) | 747 | ||||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley & Co. | 200.00 | 10/15/2021 | (5 | ) | (96,105 | ) | (590 | ) | (889 | ) | 299 | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley & Co. | 580.00 | 10/15/2021 | (1 | ) | (57,133 | ) | (900 | ) | (697 | ) | (203 | ) | |||||||||||||||||
TJX Cos., Inc. (The) | Morgan Stanley & Co. | 80.00 | 10/15/2021 | (14 | ) | (92,372 | ) | (42 | ) | (1,494 | ) | 1,452 |
PartnerSelect Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2021 (Unaudited)(Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley & Co. | $ | 450.00 | 10/15/2021 | (3 | ) | $ | (117,222 | ) | $ | (39 | ) | $ | (1,250 | ) | $ | 1,211 | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (20,344 | ) | $ | (43,297 | ) | $ | 22,953 | |||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 0.0% | ||||||||
Consumer Staples: 0.0% | ||||||||
648 | Moran Foods LLC* | $ | 3,565 | |||||
|
| |||||||
| TOTAL COMMON STOCKS | 3,565 | ||||||
|
| |||||||
PREFERRED STOCKS: 2.2% | ||||||||
Financials: 2.1% | ||||||||
American Financial Group, Inc. |
| |||||||
1,795 | 4.500%, 09/15/2060 | 48,985 | ||||||
Assurant, Inc. |
| |||||||
2,000 | 5.250%, 01/15/2061 | 54,040 | ||||||
Bank of America Corp. |
| |||||||
4,000 | 4.375%, 11/03/2025(a) | 105,400 | ||||||
Bank of America Corp. |
| |||||||
6,000 | 4.125%, 02/02/2026(a) | 154,260 | ||||||
CNO Financial Group, Inc. |
| |||||||
2,000 | 5.125%, 11/25/2060 | 53,300 | ||||||
Equitable Holdings, Inc. |
| |||||||
2,800 | 4.300%, 03/15/2026(a) | 70,000 | ||||||
Federal Agricultural Mortgage Corp. |
| |||||||
2,000 | 5.750%, 07/17/2025(a) | 54,120 | ||||||
First Republic Bank |
| |||||||
2,400 | 4.125%, 10/30/2025(a) | 59,976 | ||||||
First Republic Bank |
| |||||||
8,000 | 4.250%, 03/30/2026(a) | 200,800 | ||||||
Gladstone Investment Corp. |
| |||||||
6,600 | 4.875%, 11/01/2028 | 176,682 | ||||||
Horizon Technology Finance Corp. |
| |||||||
6,400 | 4.875%, 03/30/2026 | 164,704 | ||||||
PartnerRe Ltd. |
| |||||||
1,158 | 4.875%, 03/15/2026(a) | 31,023 | ||||||
Prudential Financial, Inc. |
| |||||||
4,400 | 4.125%, 09/01/2060 | 113,784 | ||||||
Selective Insurance Group, Inc. |
| |||||||
2,000 | 4.600%, 12/15/2025(a) | 52,060 | ||||||
Trinity Capital, Inc. |
| |||||||
17,000 | 7.000%, 01/16/2025 | 445,060 | ||||||
W R Berkley Corp. |
| |||||||
849 | 4.250%, 09/30/2060 | 23,025 | ||||||
W R Berkley Corp. |
| |||||||
5,660 | 4.125%, 03/30/2061 | 150,556 | ||||||
Wells Fargo & Co. |
| |||||||
6,000 | 4.700%, 12/15/2025(a) | 157,680 | ||||||
|
| |||||||
2,115,455 | ||||||||
|
| |||||||
Real Estate: 0.1% | ||||||||
Public Storage |
| |||||||
1,744 | 4.125%, 08/14/2025(a) | 45,519 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 2,160,974 | ||||||
|
| |||||||
CLOSED-END FUNDS: 0.4% | ||||||||
3,011 | Ares Dynamic Credit Allocation Fund, Inc. | 48,748 | ||||||
16,320 | BlackRock Corporate High Yield Fund, Inc. | 199,104 | ||||||
3,836 | BlackRock Credit Allocation Income Trust | 58,115 | ||||||
1,523 | BlackRock Debt Strategies Fund, Inc. | 17,576 | ||||||
6,038 | Blackstone Strategic Credit Fund | 83,626 |
Shares | Value | |||||||
1,347 | Eaton Vance Ltd. Duration Income Fund | $ | 17,754 | |||||
2,269 | Western Asset High Income Opportunity Fund, Inc. | 11,776 | ||||||
|
| |||||||
| TOTAL CLOSED-END FUNDS | 436,699 | ||||||
|
| |||||||
Principal | ||||||||
ASSET-BACKED SECURITIES: 16.1% | ||||||||
AASET Trust |
| |||||||
$220,258 | Series 2019-2-B | 189,104 | ||||||
244,877 | Series 2020-1A-B | 179,779 | ||||||
AASET US Ltd. |
| |||||||
195,262 | Series 2018-2A-A | 189,987 | ||||||
ABPCI Direct Lending Fund ABS I Ltd. |
| |||||||
120,000 | Series 2020-1A-B | 119,423 | ||||||
ABPCI Direct Lending Fund CLO I LLC |
| |||||||
250,000 | Series 2017-1A-DR | 250,119 | ||||||
Adams Outdoor Advertising L.P. |
| |||||||
371,864 | Series 2018-1-A | 392,274 | ||||||
AIM Aviation Finance Ltd. |
| |||||||
156,502 | Series 2015-1A-A1 | 135,233 | ||||||
Anchorage Credit Funding 3 Ltd. |
| |||||||
250,000 | Series 2016-3A-BR | 248,798 | ||||||
Anchorage Credit Funding 4 Ltd. |
| |||||||
250,000 | Series 2016-4A-CR | 250,396 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC |
| |||||||
99,000 | Series 2019-1A-A2I | 101,157 | ||||||
Ares Finance Co. II LLC |
| |||||||
500,000 | 0.000%, 10/15/2036 | 500,734 | ||||||
Atlas Senior Loan Fund Ltd. |
| |||||||
350,000 | Series 2018-9A-C | 350,173 | ||||||
Business Jet Securities LLC |
| |||||||
112,153 | Series 2020-1A-B | 115,155 | ||||||
CARS-DB4 L.P. |
| |||||||
220,000 | Series 2020-1A-B1 | 227,109 | ||||||
100,000 | Series 2020-1A-B3 | 104,533 | ||||||
Castlelake Aircraft Securitization Trust |
| |||||||
169,133 | Series 2018-1-A | 168,947 | ||||||
Castlelake Aircraft Structured Trust |
| |||||||
217,349 | Series 2021-1A-B | 235,374 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
CHCP Ltd. |
| |||||||
$100,000 | Series 2021-FL1-D | $ | 100,285 | |||||
CIFC Funding II Ltd. |
| |||||||
250,000 | Series 2017-2A-DR | 250,044 | ||||||
Digital Brige Issuer LLC |
| |||||||
350,000 | Series 2021-1A-A2 | 352,150 | ||||||
Drug Royalty III L.P. | ||||||||
237,893 | Series 2018-1A-A1 | 236,104 | ||||||
Dryden Senior Loan Fund | ||||||||
300,000 | Series 2021-87A-SUB | 276,817 | ||||||
Elm Trust | ||||||||
110,000 | Series 2020-4A-B | 109,739 | ||||||
Falcon Aerospace Ltd. | ||||||||
245,854 | Series 2017-1-B | 238,336 | ||||||
Firstkey Revolving Trust | ||||||||
150,000 | 2.211%, 11/30/2058 | 150,041 | ||||||
Firstkey Revolving Trust | ||||||||
137,303 | 3.250%, 12/25/2023(f) | 137,303 | ||||||
GAIA Aviation Ltd. | ||||||||
165,157 | Series 2019-1-A | 165,054 | ||||||
GoldentTree Loan Management US CLO 1 Ltd. |
| |||||||
250,000 | Series 2021-9A-D | 250,344 | ||||||
Golub Capital Partners ABS Funding Ltd. |
| |||||||
150,000 | Series 2020-1A-B | 150,144 | ||||||
Hercules Capital Funding Trust | ||||||||
230,747 | Series 2018-1A-A | 232,002 | ||||||
69,524 | Series 2019-1A-A | 70,174 | ||||||
Hull Street CLO Ltd. | ||||||||
300,000 | Series 2014-1A-CR | 300,035 | ||||||
IP Lending II Ltd. | ||||||||
100,000 | Series 2021-2A-SNR | 100,000 | ||||||
JOL Air Ltd. | ||||||||
209,973 | Series 2019-1-A | 208,538 | ||||||
LoanCore Issuer Ltd. | ||||||||
100,000 | Series 2021-CRE5-D | 100,250 |
Principal | Value | |||||||
Madison Park Funding XLVIII Ltd. |
| |||||||
$250,000 | Series 2021-48A-D | $ | 250,205 | |||||
Marathon CLO V Ltd. | ||||||||
500,000 | Series 2013-5A-A2R | 493,122 | ||||||
250,000 | Series 2013-5A-BR | 245,493 | ||||||
Marathon CRE Ltd. | ||||||||
100,000 | Series 2018-FL1-C | 99,985 | ||||||
MCA Fund Holding LLC | ||||||||
238,907 | Series 2020-1-B | 237,339 | ||||||
MidOcean Credit CLO VII | ||||||||
500,000 | Series 2017-7A-CR | 500,247 | ||||||
Monroe Capital ABS Funding Ltd. |
| |||||||
180,000 | Series 2021-1A-A2 | 178,809 | ||||||
Monroe Capital CLO Ltd. | ||||||||
250,000 | Series 2014-1A-CR | 250,055 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
299,861 | Series 2006-HE8-A2D | 180,936 | ||||||
375,526 | Series 2007-HE4-A2C | 167,557 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust |
| |||||||
380,352 | Series 2006-2-A4 | 175,804 | ||||||
Nassau CFO LLC | ||||||||
203,487 | Series 2019-1-A | 206,666 | ||||||
Neuberger Berman Loan Advisers CLO 44 Ltd. | ||||||||
250,000 | Series 2021-44A-SUB | 224,084 | ||||||
NewStar Clarendon Fund CLO LLC |
| |||||||
147,737 | Series 2014-1A-BR | 147,806 | ||||||
300,000 | Series 2014-1A-CR | 299,475 | ||||||
Newtek Small Business Loan Trust |
| |||||||
124,065 | Series 2018-1-A | 122,372 | ||||||
56,393 | Series 2018-1-B | 54,674 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Northwoods Capital 20 Ltd. | ||||||||
$250,000 | Series 2019-20A-DR | $ | 249,665 | |||||
Oxford Finance Funding LLC | ||||||||
430,000 | Series 2020-1A-B | 441,338 | ||||||
Palmer Square Loan Funding Ltd. | ||||||||
250,000 | Series 2021-1A-C | 250,178 | ||||||
200,000 | Series 2021-2A-SUB | 186,000 | ||||||
250,000 | Series 2021-3A-C | 250,247 | ||||||
200,000 | Series 2021-3A-SUB | 190,153 | ||||||
PennantPark CLO Ltd. | ||||||||
250,000 | Series 2020-2A-D | 250,115 | ||||||
ReadyCap Lending Small Business Loan Trust |
| |||||||
142,852 | Series 2019-2-A | 137,048 | ||||||
Republic Finance Issuance Trust | ||||||||
240,000 | Series 2020-A-B | 247,535 | ||||||
Saganaw Insurance Recievables LLC |
| |||||||
76,031 | Series 2019-1A-A | 76,773 | ||||||
Sapphire Aviation Finance I Ltd. | ||||||||
150,267 | Series 2018-1A-A | 148,613 | ||||||
Sapphire Aviation Finance II Ltd. | ||||||||
233,783 | Series 2020-1A-B | 210,938 | ||||||
Secured Tenant Site Contract Revenue Notes |
| |||||||
117,522 | Series 2018-1A-C | 119,757 | ||||||
Stack Infrastructure Issuer LLC | ||||||||
448,117 | Series 2019-1A-A2 | 471,719 | ||||||
Sunbird Engine Finance LLC | ||||||||
195,967 | Series 2020-1A-B | 144,938 | ||||||
Thrust Engine Leasing | ||||||||
437,788 | Series 2021-1A-B | 433,649 | ||||||
VB-S1 Issuer LLC | ||||||||
100,000 | Series 2020-1A-D | 105,270 | ||||||
150,000 | Series 2020-1A-F | 162,962 | ||||||
VCP RRL ABS I Ltd. | ||||||||
100,000 | Series 2021-1A-C | 100,159 | ||||||
Venture XIII CLO Ltd. | ||||||||
250,000 | Series 2013-13A-SUB | 74,132 |
Principal | Value | |||||||
Wachovia Asset Securitization Issuance II LLC Trust |
| |||||||
$193,578 | Series 2007-HE2A-A | $ | 188,808 | |||||
WRG Debt Funding IV LLC | ||||||||
396,407 | Series 2020-1-B | 396,545 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 15,856,826 | ||||||
|
| |||||||
BANK LOANS: 26.4% | ||||||||
AAdvantage Loyalty IP Ltd. | ||||||||
700,000 | 5.500%, 04/20/2028(c) | 724,643 | ||||||
Accuride Corp. | ||||||||
48,597 | 6.250%, 11/17/2023(c) | 47,109 | ||||||
AHP Health Partners, Inc. | ||||||||
288,000 | 0.000%, 08/04/2028(g) | 289,171 | ||||||
482,000 | 4.000%, 08/04/2028(c) | 483,959 | ||||||
Ai Aqua Merger Sub, Inc. | ||||||||
11,111 | 0.000%, 07/31/2028(g) | 11,160 | ||||||
88,889 | 4.500%, 07/31/2028(c) | 89,278 | ||||||
Air Canada | ||||||||
735,000 | 4.250%, 08/11/2028(c) | 738,980 | ||||||
AL NGPL Holdings LLC | ||||||||
340,000 | 4.750%, 04/14/2028(c) | 341,912 | ||||||
Allen Media LLC | ||||||||
521,966 | 5.632%, 02/10/2027(c) | 522,783 | ||||||
American Rock Salt Co. LLC | ||||||||
99,750 | 4.750%, 06/04/2028(c) | 100,407 | ||||||
American Trailer World Corp. | ||||||||
99,750 | 4.500%, 03/03/2028(c) | 99,413 | ||||||
Anchor Packaging, Inc. | ||||||||
98,340 | 4.084%, 07/18/2026(c) | 98,402 | ||||||
API Technologies Corp. | ||||||||
97,750 | 4.334%, 05/09/2026(c) | 95,245 | ||||||
ApttusCorp. | ||||||||
100,000 | 5.000%, 05/08/2028(c) | 100,646 | ||||||
Arcline FM Holdings LLC | ||||||||
100,000 | 5.500%, 06/23/2028(c) | 100,250 | ||||||
Arctic Glacier U.S.A., Inc. | ||||||||
100,000 | 4.500%, 03/20/2024(c) | 95,563 | ||||||
Ascend Learning LLC | ||||||||
74,250 | 4.750%, 07/12/2024(c) | 74,436 | ||||||
Aston FinCo S.A.R.L. | ||||||||
98,500 | 4.332%, 10/09/2026(c) | 98,203 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Atlas CC Acquisition Corp. | ||||||||
$82,891 | 5.000%, 05/25/2028(c) | $ | 83,311 | |||||
16,859 | 5.000%, 05/25/2028(c) | 16,945 | ||||||
BCP Renaissance Parent LLC | ||||||||
633,622 | 4.500%, 10/31/2024(c) | 629,345 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
98,061 | 4.084%, 06/11/2026(c) | 97,652 | ||||||
65,882 | 4.500%, 06/11/2026(c) | 65,786 | ||||||
Blue Ribbon LLC | ||||||||
98,750 | 6.750%, 05/04/2028(c) | 97,269 | ||||||
BWAY Holding Co. | ||||||||
57,680 | 3.334%, 04/03/2024(c) | 56,594 | ||||||
CambrexCorp. | ||||||||
99,250 | 4.250%, 12/04/2026(c) | 99,515 | ||||||
Camin Cargo Control, Inc. | ||||||||
99,750 | 7.500%, 06/04/2026(c) | 99,251 | ||||||
Capstone Acquisition Holdings, Inc. | ||||||||
13,194 | 0.000%, 11/12/2027(g) | 13,252 | ||||||
99,499 | 5.750%, 11/12/2027(c) | 99,934 | ||||||
Cast and Crew Payroll LLC | ||||||||
98,361 | 3.834%, 02/09/2026(c) | 98,108 | ||||||
CCRR Parent, Inc. | ||||||||
99,500 | 4.500%, 03/06/2028(c) | 99,873 | ||||||
CD&R Hydra Buyer, Inc. | ||||||||
97,716 | 5.250%, 12/11/2024(c) | 97,838 | ||||||
Charter NEX US, Inc. | ||||||||
99,250 | 4.500%, 12/01/2027(c) | 99,583 | ||||||
Clarios Global L.P. | ||||||||
621,040 | 0.000%, 04/30/2026(g) | 705,790 | ||||||
535,761 | 3.334%, 04/30/2026(c) | 534,087 | ||||||
Cologix, Inc. | ||||||||
99,750 | 4.500%, 05/01/2028(c) | 100,062 | ||||||
Comet Acquisition, Inc. | ||||||||
97,250 | 3.382%, 10/24/2025(c) | 95,743 | ||||||
Connect Finco S.A.R.L | ||||||||
517,374 | 4.500%, 12/11/2026(c) | 518,344 | ||||||
CP Atlas Buyer, Inc. | ||||||||
99,500 | 4.250%, 11/23/2027(c) | 99,325 | ||||||
CPC Acquisition Corp. | ||||||||
199,000 | 4.500%, 12/29/2027(c) | 199,166 |
Principal | Value | |||||||
CPM Holdings, Inc. | ||||||||
$97,250 | 3.586%, 11/17/2025(c) | $ | 96,885 | |||||
Cross Financial Corp. | ||||||||
99,750 | 4.750%, 09/15/2027(c) | 100,186 | ||||||
Deerfield Dakota Holding LLC | ||||||||
98,750 | 4.750%, 04/09/2027(c) | 99,159 | ||||||
Denali Water Solutions | ||||||||
89,775 | 5.000%, 03/25/2028(c) | 89,972 | ||||||
DG Investment Intermediate Holdings 2, Inc. |
| |||||||
15,957 | 4.500%, 03/31/2028(c) | 16,031 | ||||||
82,477 | 4.500%, 03/31/2028(c) | 82,860 | ||||||
DiversiTech Holdings, Inc. | ||||||||
99,232 | 4.250%, 12/02/2024(c) | 99,325 | ||||||
DXP Enterprises, Inc. | ||||||||
99,250 | 5.750%, 12/16/2027(c) | 99,343 | ||||||
Eastern Power LLC | ||||||||
655,273 | 4.750%, 10/02/2025(c) | 585,162 | ||||||
Eisner Advisory Group LLC | ||||||||
90,909 | 6.000%, 07/28/2028(c) | 91,137 | ||||||
Entrans International LLC | ||||||||
67,000 | 6.084%, 11/01/2024(c) | 63,315 | ||||||
EyeCare Partners LLC | ||||||||
98,646 | 3.882%, 02/18/2027(c) | 98,246 | ||||||
First Brands Group LLC | ||||||||
99,500 | 6.000%, 03/30/2027(c) | 100,719 | ||||||
Franchise Group Intermediate Holdco LLC |
| |||||||
81,545 | 5.500%, 03/10/2026(c) | 82,105 | ||||||
GEON Performance Solutions LLC |
| |||||||
360,000 | 5.500%, 08/18/2028(c) | 363,037 | ||||||
Gibson Brands Inc. | ||||||||
100,000 | 5.750%, 06/25/2028(c) | 99,500 | ||||||
GIP II Blue Holding, L.P | ||||||||
380,000 | 0.000%, 09/29/2028(g) | 380,477 | ||||||
Global Medical Response, Inc. | ||||||||
260,000 | 0.000%, 03/14/2025(g) | 261,333 | ||||||
GT Polaris, Inc. | ||||||||
99,251 | 4.500%, 09/24/2027(c) | 99,448 | ||||||
Hamilton Projects Acquiror LLC | ||||||||
138,349 | 5.750%, 06/17/2027(c) | 139,063 | ||||||
HC Group Holdings II, Inc. | ||||||||
198,485 | 3.834%, 08/06/2026(c) | 198,659 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Help At Home, Inc. | ||||||||
$89,550 | 6.000%, 10/29/2027(c) | $ | 89,774 | |||||
10,000 | 6.000%, 10/29/2027(c) | 10,025 | ||||||
Higginbotham Insurance Agency, Inc. |
| |||||||
17,874 | 6.250%, 11/25/2026(c) | 17,740 | ||||||
77,645 | 6.250%, 11/25/2026(c) | 76,480 | ||||||
HighTower Holdings LLC | ||||||||
80,000 | 4.750%, 04/21/2028(c) | 80,112 | ||||||
Holding Socotec SAS | ||||||||
100,000 | 0.000%, 06/02/2028(g) | 100,125 | ||||||
IBC Capital Ltd. | ||||||||
79,273 | 3.870%, 09/11/2023(c) | 78,341 | ||||||
ICON Luxembourg S.A.R.L. | ||||||||
586,929 | 3.000%, 07/03/2028(c) | 589,535 | ||||||
146,234 | 3.000%, 07/03/2028(c) | 146,883 | ||||||
Illuminate Buyer LLC | ||||||||
47,245 | 3.584%, 06/30/2027(c) | 47,238 | ||||||
Ilpea Parent Inc. | ||||||||
694,986 | 0.000%, 06/22/2028(g) | 696,723 | ||||||
Ilpea Parent, Inc. | ||||||||
792,998 | 5.250%, 03/02/2023(c) | 794,981 | ||||||
Imagefirst Holdings LLC | ||||||||
4,444 | 5.250%, 04/27/2028(c) | 4,444 | ||||||
81,278 | 5.250%, 04/27/2028(c) | 81,278 | ||||||
Jazz Financing Lux S.A.R.L. | ||||||||
503,738 | 4.000%, 05/05/2028(c) | 504,999 | ||||||
Kronos Acquisition Holdings Inc. | ||||||||
108,616 | 3.834%, 12/22/2026(c) | 106,231 | ||||||
LTI Holdings, Inc. | ||||||||
97,000 | 3.584%, 09/06/2025(c) | 95,848 | ||||||
Mavis Tire Express Services Corp. | ||||||||
99,750 | 4.750%, 05/04/2028(c) | 100,107 | ||||||
MB2 Dental Solutions LLC | ||||||||
40,889 | 0.000%, 01/29/2027(g) | 40,480 | ||||||
27,362 | 7.000%, 01/29/2027(c) | 27,089 | ||||||
110,091 | 7.000%, 01/29/2027(c) | 108,136 | ||||||
MDVIP, Inc. | ||||||||
99,227 | 5.250%, 11/14/2024(c) | 99,227 | ||||||
Medline Industries, Inc. | ||||||||
102,564 | 0.000%, 08/04/2022(g) | 102,564 | ||||||
97,436 | 0.000%, 08/04/2022(g) | 97,436 | ||||||
350,000 | 0.000%, 09/20/2028(g) | 349,452 |
Principal Amount^ | Value | |||||||
Meridian Adhesives Group, Inc. | ||||||||
$100,000 | 4.750%, 07/24/2028(c) | $ | 100,000 | |||||
Midwest Veterinary Partners LLC | ||||||||
100,000 | 4.750%, 04/26/2028(c) | 100,125 | ||||||
Mileage Plus Holdings LLC | ||||||||
100,000 | 6.250%, 06/21/2027(c) | 106,344 | ||||||
Moran Foods LLC | ||||||||
11,670 | 8.000%, 04/01/2024(c) | 11,903 | ||||||
14,580 | 11.750%, 10/01/2024(c) | 12,757 | ||||||
Motel 6 | ||||||||
100,000 | 5.750%, 09/09/2026(c) | 100,625 | ||||||
MPH Acquisition Holdings LLC | ||||||||
350,000 | 0.000%, 08/17/2028(g) | 346,502 | ||||||
760,000 | 4.750%, 08/17/2028(c) | 752,404 | ||||||
NA Rail Hold Co. LLC | ||||||||
98,995 | 4.632%, 10/19/2026(c) | 99,428 | ||||||
National Mentor Holdings, Inc. | ||||||||
5,533 | 4.500%, 03/02/2028(c) | 5,540 | ||||||
89,663 | 4.500%, 03/02/2028(c) | 89,775 | ||||||
NFP Corp. | ||||||||
48,623 | 3.334%, 02/15/2027(c) | 48,215 | ||||||
NorthRiver Midstream Finance L.P. | ||||||||
582,243 | 3.395%, 10/01/2025(c) | 581,757 | ||||||
Organon & Co. | ||||||||
543,638 | 3.500%, 06/02/2028(c) | 545,676 | ||||||
Packers Holdings LLC | ||||||||
99,504 | 4.000%, 03/09/2028(c) | 99,193 | ||||||
PAI Holdco, Inc. | ||||||||
99,500 | 4.250%, 10/28/2027(c) | 99,770 | ||||||
Park River Holdings, Inc. | ||||||||
199,500 | 4.000%, 12/28/2027(c) | 198,939 | ||||||
Pelican Products, Inc. | ||||||||
78,930 | 4.500%, 05/01/2025(c) | 78,831 | ||||||
Peraton Holding Corp. | ||||||||
99,500 | 4.500%, 02/01/2028(c) | 99,733 | ||||||
PetVet Care Centers LLC | ||||||||
198,481 | 4.250%, 02/14/2025(c) | 198,792 | ||||||
Planview Parent, Inc. | ||||||||
99,250 | 4.750%, 12/17/2027(c) | 99,685 | ||||||
Playpower, Inc. | ||||||||
90,606 | 5.632%, 05/08/2026(c) | 89,549 | ||||||
Polaris Newco LLC | ||||||||
100,000 | 4.500%, 06/02/2028(c) | 100,334 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Pro Mach Group, Inc. | ||||||||
$86,034 | 5.000%, 08/31/2028(c) | $ | 86,525 | |||||
Project Ruby Ultimate Parent Corp. | ||||||||
99,500 | 4.000%, 03/03/2028(c) | 99,500 | ||||||
Protective Industrial Products, Inc. | ||||||||
199,500 | 4.750%, 01/20/2028(c) | 199,500 | ||||||
Provation Software Group, Inc. | ||||||||
99,500 | 5.500%, 12/22/2027(c) | 98,505 | ||||||
Quirch Foods Holdings LLC | ||||||||
99,250 | 5.750%, 10/19/2027(c) | 99,840 | ||||||
RCP Vega, Inc. | ||||||||
88,867 | 4.834%, 04/30/2026(c) | 88,200 | ||||||
Resonetics LLC | ||||||||
100,000 | 4.750%, 04/28/2028(c) | 100,292 | ||||||
SCP Eye Care Services LLC | ||||||||
85,014 | 5.250%, 03/16/2028(c) | 85,120 | ||||||
ScribeAmerica Intermediate Holdco LLC | ||||||||
47,874 | 4.584%, 04/03/2025(c) | 45,600 | ||||||
Service Logic Acquisition, Inc. | ||||||||
6,196 | 4.750%, 10/29/2027(c) | 6,227 | ||||||
77,206 | 4.750%, 10/29/2027(c) | 77,592 | ||||||
Sitecore Holding III A/S | ||||||||
100,000 | 7.000%, 09/01/2028(c) | 98,500 | ||||||
Southern Veterinary Partners LLC | ||||||||
12,091 | 5.000%, 10/05/2027(c) | 12,151 | ||||||
87,220 | 5.000%, 10/05/2027(c) | 87,656 | ||||||
Sovos Brands Intermediate, Inc. | ||||||||
89,707 | 4.500%, 06/08/2028(c) | 89,912 | ||||||
Sovos Compliance LLC | ||||||||
85,274 | 5.000%, 08/11/2028(c) | 85,878 | ||||||
SP PF Buyer LLC | ||||||||
148,855 | 4.584%, 12/22/2025(c) | 146,622 | ||||||
Syndigo LLC | ||||||||
149,250 | 5.250%, 12/15/2027(c) | 150,183 | ||||||
System One Holdings LLC | ||||||||
760,000 | 0.000%, 03/02/2028(g) | 761,900 | ||||||
758,278 | 4.750%, 03/02/2028(c) | 760,174 | ||||||
Teneo Holdings LLC | ||||||||
71,171 | 6.250%, 07/11/2025(c) | 71,008 |
Principal Amount^ | Value | |||||||
Tibco Software, Inc. | ||||||||
$98,750 | 3.840%, 06/30/2026(c) | $ | 98,318 | |||||
Tivity Health, Inc. | ||||||||
209,475 | 4.334%, 06/30/2028(c) | 209,658 | ||||||
TricorBraun Holdings, Inc. | ||||||||
6,258 | 3.750%, 03/03/2028(c) | 6,232 | ||||||
81,433 | 3.750%, 03/03/2028(c) | 81,088 | ||||||
Truck Hero, Inc. | ||||||||
99,500 | 4.000%, 01/31/2028(c) | 99,417 | ||||||
TVC Albany, Inc. | ||||||||
97,000 | 3.580%, 07/23/2025(c) | 95,989 | ||||||
UGI Energy Services LLC | ||||||||
234,600 | 3.834%, 08/13/2026(c) | 235,333 | ||||||
United Airlines, Inc. | ||||||||
651,725 | 4.500%, 04/21/2028(c) | 657,688 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
39,755 | 2.463%, 08/19/2026(c) | 37,966 | ||||||
Vertical Midco GmbH | ||||||||
99,252 | 4.404%, 07/30/2027(c) | 99,555 | ||||||
Women’s Care Enterprises LLC | ||||||||
199,500 | 5.250%, 01/15/2028(c) | 199,688 | ||||||
Wrench Group LLC | ||||||||
99,250 | 5.500%, 04/30/2026(c) | 99,374 | ||||||
Xplornet Communications, Inc. | ||||||||
100,000 | 0.000%, 10/01/2021(g) | 99,938 | ||||||
148,125 | 4.837%, 06/10/2027(c) | 148,231 | ||||||
Yak Access LLC | ||||||||
100,000 | 10.129%, 07/10/2026(c) | 71,188 | ||||||
Zebra Buyer LLC | ||||||||
750,000 | 0.000%, 04/21/2028(g) | 753,214 | ||||||
Zep Inc. | ||||||||
59,433 | 5.000%, 08/12/2024(c) | 58,133 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 26,077,315 | ||||||
|
| |||||||
CORPORATE BONDS: 32.3% | ||||||||
Basic Materials: 0.8% | ||||||||
Alcoa Nederland Holding B.V. | ||||||||
200,000 | 5.500%, 12/15/2027(b) | 214,936 | ||||||
Clearwater Paper Corp. | ||||||||
37,000 | 4.750%, 08/15/2028(b) | 38,087 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
30,000 | 9.000%, 07/01/2028(b) | 33,114 | ||||||
INEOS Quattro Finance 2 Plc | ||||||||
200,000 | 3.375%, 01/15/2026(b) | 202,250 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Basic Materials (continued) | ||||||||
Kaiser Aluminum Corp. | ||||||||
$100,000 | 4.500%, 06/01/2031(b) | $ | 102,625 | |||||
Minerals Technologies, Inc. |
| |||||||
65,000 | 5.000%, 07/01/2028(b) | 67,519 | ||||||
Valvoline, Inc. | ||||||||
100,000 | 3.625%, 06/15/2031(b) | 98,875 | ||||||
|
| |||||||
757,406 | ||||||||
|
| |||||||
Communications: 2.1% | ||||||||
Altice France S.A. | ||||||||
200,000 | 5.500%, 10/15/2029(b)(h) | 198,233 | ||||||
AMC Networks, Inc. | ||||||||
50,000 | 4.250%, 02/15/2029 | 49,781 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
85,000 | 4.250%, 02/01/2031(b) | 86,381 | ||||||
70,000 | 4.500%, 06/01/2033(b) | 71,328 | ||||||
Connect Finco S.A.R.L / Connect US Finco LLC | ||||||||
200,000 | 6.750%, 10/01/2026(b) | 209,512 | ||||||
Houghton Mifflin Harcourt Publishers, Inc. | ||||||||
50,000 | 9.000%, 02/15/2025(b) | 53,240 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
200,000 | 5.125%, 07/15/2029(b) | 206,750 | ||||||
Level 3 Financing, Inc. | ||||||||
124,000 | 4.250%, 07/01/2028(b) | 125,114 | ||||||
Match Group Holdings II LLC |
| |||||||
50,000 | 4.625%, 06/01/2028(b) | 52,188 | ||||||
Mav Acquisition Corp. | ||||||||
50,000 | 5.750%, 08/01/2028(b) | 49,196 | ||||||
150,000 | 8.000%, 08/01/2029(b) | 143,527 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
100,000 | 4.500%, 09/15/2026(b) | 103,375 | ||||||
Switch Ltd. | ||||||||
100,000 | 3.750%, 09/15/2028(b) | 101,625 | ||||||
UPC Broadband Finco B.V. | ||||||||
200,000 | 4.875%, 07/15/2031(b) | 205,022 | ||||||
ViacomCBS, Inc. | ||||||||
60,000 | 4.950%, 05/19/2050 | 75,082 | ||||||
Virgin Media Vendor Financing Notes IV DAC | ||||||||
200,000 | 5.000%, 07/15/2028(b) | 206,844 | ||||||
Vodafone Group Plc | ||||||||
100,000 | 5.125%, 06/04/2081(e) | 103,110 | ||||||
|
| |||||||
2,040,308 | ||||||||
|
| |||||||
Consumer, Cyclical: 2.3% | ||||||||
1011778 BC ULC / New Red Finance, Inc. | ||||||||
100,000 | 4.000%, 10/15/2030(b) | 99,125 | ||||||
Air Canada | ||||||||
| 100,000 (CAD) | | 4.625%, 08/15/2029(b) | 79,124 | ||||
Air Canada Pass Through Trust |
| |||||||
23,429 | Series 2020-2-A | 25,339 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
19,000 | 4.125%, 05/15/2029(b) | 18,905 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
Boyne USA, Inc. | ||||||||
$100,000 | 4.750%, 05/15/2029(b) | $ | 103,375 | |||||
Deuce Finco Plc | ||||||||
| 100,000 (GBP) | | 5.500%, 06/15/2027(b) | 136,571 | ||||
Hilton Domestic Operating Co., Inc. | ||||||||
150,000 | 4.000%, 05/01/2031(b) | 152,437 | ||||||
50,000 | 3.625%, 02/15/2032(b) | 49,313 | ||||||
Hyatt Hotels Corp. | ||||||||
95,000 | 5.750%, 04/23/2030(i) | 114,054 | ||||||
JB Poindexter & Co., Inc. | ||||||||
75,000 | 7.125%, 04/15/2026(b) | 79,031 | ||||||
Marriott International, Inc. | ||||||||
70,000 | 4.625%, 06/15/2030 | 79,941 | ||||||
130,000 | 2.850%, 04/15/2031(i) | 131,621 | ||||||
50,000 | 3.500%, 10/15/2032 | 53,102 | ||||||
Murphy Oil USA, Inc. | ||||||||
125,000 | 3.750%, 02/15/2031(b) | 125,937 | ||||||
Nordstrom, Inc. | ||||||||
160,000 | 4.375%, 04/01/2030 | 163,757 | ||||||
Papa John’s International, Inc. | ||||||||
100,000 | 3.875%, 09/15/2029(b) | 99,363 | ||||||
Penn National Gaming, Inc. | ||||||||
100,000 | 4.125%, 07/01/2029(b) | 98,965 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
250,000 | 4.750%, 02/15/2028(b) | 257,969 | ||||||
Powdr Corp. | ||||||||
15,000 | 6.000%, 08/01/2025(b) | 15,774 | ||||||
Scotts Miracle-Gro Co. (The) | ||||||||
50,000 | 4.000%, 04/01/2031(b) | 49,969 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
35,000 | 7.000%, 07/01/2025(b) | 37,319 | ||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | ||||||||
100,000 | 5.000%, 06/01/2031(b) | 103,875 | ||||||
Superior Plus L.P. / Superior General Partner, Inc. | ||||||||
100,000 | 4.500%, 03/15/2029(b) | 103,375 | ||||||
Wabash National Corp. | ||||||||
100,000 | 4.500%, 10/15/2028(b)(h) | 100,000 | ||||||
|
| |||||||
2,278,241 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 3.3% | ||||||||
Altria Group, Inc. | ||||||||
10,000 | 4.450%, 05/06/2050 | 10,510 | ||||||
Avantor Funding, Inc. | ||||||||
75,000 | 4.625%, 07/15/2028(b) | 79,035 | ||||||
Bausch Health Cos., Inc. | ||||||||
625,000 | 4.875%, 06/01/2028(b) | 648,437 | ||||||
Carriage Services, Inc. | ||||||||
100,000 | 4.250%, 05/15/2029(b) | 100,980 | ||||||
Central Garden & Pet Co. | ||||||||
85,000 | 4.125%, 10/15/2030 | 87,019 | ||||||
Charles River Laboratories International, Inc. | ||||||||
100,000 | 4.000%, 03/15/2031(b) | 104,898 | ||||||
CPI CG, Inc. | ||||||||
50,000 | 8.625%, 03/15/2026(b) | 54,313 | ||||||
DaVita, Inc. | ||||||||
49,000 | 4.625%, 06/01/2030(b) | 50,463 | ||||||
Endo Luxembourg Finance Co. I S.A.R.L/ Endo US, Inc. | ||||||||
100,000 | 6.125%, 04/01/2029(b) | 100,135 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. | ||||||||
$200,000 | 5.625%, 08/15/2026(b) | $ | 205,978 | |||||
HCRX Investments Holdco L.P. | ||||||||
50,000 | 4.500%, 08/01/2029(b) | 50,313 | ||||||
JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | ||||||||
50,000 | 3.750%, 12/01/2031(b) | 52,089 | ||||||
Kraft Heinz Foods Co. | ||||||||
50,000 | 5.000%, 06/04/2042 | 61,407 | ||||||
80,000 | 4.375%, 06/01/2046 | 91,179 | ||||||
25,000 | 4.875%, 10/01/2049 | 30,482 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
12,000 | 7.000%, 12/31/2027(b) | 11,505 | ||||||
Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc. | ||||||||
200,000 | 5.000%, 02/01/2026(b) | 205,326 | ||||||
Mozart Debt Merger Sub, Inc. | ||||||||
150,000 | 3.875%, 04/01/2029(b) | 150,000 | ||||||
100,000 | 5.250%, 10/01/2029(b) | 100,000 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
100,000 | 4.500%, 07/15/2029(b) | 97,905 | ||||||
Post Holdings, Inc. | ||||||||
100,000 | 4.500%, 09/15/2031(b) | 98,938 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
75,000 | 5.750%, 04/15/2026(b) | 81,226 | ||||||
Rent-A-Center, Inc. | ||||||||
100,000 | 6.375%, 02/15/2029(b) | 108,000 | ||||||
Sabre GLBL, Inc. | ||||||||
50,000 | 9.250%, 04/15/2025(b) | 57,852 | ||||||
75,000 | 7.375%, 09/01/2025(b) | 80,152 | ||||||
Sotheby’s/Bidfair Holdings, Inc. |
| |||||||
200,000 | 5.875%, 06/01/2029(b) | 206,002 | ||||||
Spectrum Brands, Inc. | ||||||||
50,000 | 5.500%, 07/15/2030(b) | 55,438 | ||||||
Tenet Healthcare Corp. | ||||||||
15,000 | 4.625%, 06/15/2028(b) | 15,562 | ||||||
US Foods, Inc. | ||||||||
70,000 | 6.250%, 04/15/2025(b) | 73,514 | ||||||
50,000 | 4.750%, 02/15/2029(b) | 51,380 | ||||||
WW International, Inc. | ||||||||
100,000 | 4.500%, 04/15/2029(b) | 97,875 | ||||||
|
| |||||||
3,217,913 | ||||||||
|
| |||||||
Energy: 4.3% | ||||||||
Apache Corp. | ||||||||
235,000 | 4.625%, 11/15/2025 | 253,831 | ||||||
BP Capital Markets Plc | ||||||||
250,000 | 4.875%, 03/22/2030(a)(e) | 275,440 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
100,000 | 3.520%, 12/31/2039 | 100,949 | ||||||
DT Midstream, Inc. | ||||||||
100,000 | 4.125%, 06/15/2029(b) | 101,531 |
Principal Amount^ | Value | |||||||
Energy (continued) | ||||||||
Energy Transfer L.P. | ||||||||
$775,000 | 6.250%, 02/15/2023(a)(e) | $ | 695,330 | |||||
EnLink Midstream LLC | ||||||||
245,000 | 5.625%, 01/15/2028(b) | 261,167 | ||||||
EnLink Midstream Partners L.P. | ||||||||
345,000 | 4.150%, 06/01/2025 | 356,207 | ||||||
Global Partners L.P. / GLP Finance Corp. | ||||||||
50,000 | 7.000%, 08/01/2027 | 52,258 | ||||||
25,000 | 6.875%, 01/15/2029 | 25,983 | ||||||
Harvest Midstream I L.P. | ||||||||
500,000 | 7.500%, 09/01/2028(b) | 533,315 | ||||||
ITT Holdings LLC | ||||||||
200,000 | 6.500%, 08/01/2029(b) | 202,000 | ||||||
Midwest Connector Capital Co. LLC |
| |||||||
79,000 | 4.625%, 04/01/2029(b) | 85,029 | ||||||
Northriver Midstream Finance L.P. |
| |||||||
125,000 | 5.625%, 02/15/2026(b) | 130,260 | ||||||
NuStar Logistics L.P. | ||||||||
100,000 | 6.375%, 10/01/2030 | 110,125 | ||||||
Occidental Petroleum Corp. | ||||||||
405,000 | 2.900%, 08/15/2024 | 412,756 | ||||||
285,000 | 5.500%, 12/01/2025 | 315,994 | ||||||
100,000 | 7.875%, 09/15/2031 | 133,510 | ||||||
Ovintiv Exploration, Inc. | ||||||||
210,000 | 5.625%, 07/01/2024 | 232,913 | ||||||
|
| |||||||
4,278,598 | ||||||||
|
| |||||||
Financial: 15.3% | ||||||||
Aegon N.V. | ||||||||
500,000 | 5.500%, 04/11/2048(e) | 582,383 | ||||||
Alliance Data Systems Corp. | ||||||||
375,000 | 4.750%, 12/15/2024(b) | 384,566 | ||||||
American Equity Investment Life Holding Co. |
| |||||||
25,000 | 5.000%, 06/15/2027 | 28,802 | ||||||
AmWINS Group, Inc. | ||||||||
50,000 | 4.875%, 06/30/2029(b) | 50,813 | ||||||
Apollo Management Holdings L.P. |
| |||||||
700,000 | 4.950%, 01/14/2050(b)(e) | 730,562 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
205,000 | 5.500%, 01/15/2026(b) | 229,767 | ||||||
AXIS Specialty Finance LLC | ||||||||
400,000 | 4.900%, 01/15/2040(e) | 426,487 | ||||||
Bank of New York Mellon Corp. (The) |
| |||||||
30,000 | 4.700%, 09/20/2025(a)(e) | 33,000 | ||||||
Brazilian Merchant Voucher Receivables Ltd. |
| |||||||
200,000 | 4.180%, 04/07/2028(f) | 212,442 | ||||||
Business Development Corp. of America |
| |||||||
375,000 | 4.750%, 12/30/2022(b) | 387,628 | ||||||
225,000 | 4.850%, 12/15/2024(b) | 243,184 | ||||||
Charles Schwab Corp. (The) | ||||||||
100,000 | 4.000%, 12/01/2030(a)(e) | 102,971 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
CION Investment Corp. | ||||||||
$230,000 | 4.500%, 02/11/2026 | $ | 231,935 | |||||
Citigroup, Inc. | ||||||||
100,000 | 4.000%, 12/10/2025(a)(e) | 103,870 | ||||||
150,000 | 3.875%, 02/18/2026(a)(e) | 153,720 | ||||||
Credit Acceptance Corp. | ||||||||
535,000 | 6.625%, 03/15/2026 | 559,744 | ||||||
Cushman & Wakefield US Borrower LLC |
| |||||||
96,000 | 6.750%, 05/15/2028(b) | 104,280 | ||||||
Drawbridge Special Opportunities Fund L.P. / Drawbridge Special Opportunities Fin | ||||||||
710,000 | 3.875%, 02/15/2026(b) | 729,950 | ||||||
Enstar Finance LLC | ||||||||
200,000 | 5.750%, 09/01/2040(e) | 213,342 | ||||||
Equitable Holdings, Inc. | ||||||||
150,000 | 4.950%, 09/15/2025(a)(e) | 163,125 | ||||||
Fairfax India Holdings Corp. | ||||||||
320,000 | 5.000%, 02/26/2028(b) | 319,646 | ||||||
Fidelis Insurance Holdings Ltd. | ||||||||
630,000 | 6.625%, 04/01/2041(b)(e) | 643,078 | ||||||
Gladstone Capital Corp. | ||||||||
545,000 | 5.125%, 01/31/2026 | 574,975 | ||||||
Global Atlantic Fin Co. | ||||||||
100,000 | 4.700%, 10/15/2051(b)(e) | 103,434 | ||||||
GLP Capital L.P. / GLP Financing II, Inc. | ||||||||
50,000 | 5.300%, 01/15/2029 | 58,571 | ||||||
140,000 | 4.000%, 01/15/2031 | 151,236 | ||||||
Home Point Capital, Inc. | ||||||||
200,000 | 5.000%, 02/01/2026(b) | 181,640 | ||||||
Host Hotels & Resorts L.P. | ||||||||
150,000 | 3.500%, 09/15/2030(i) | 155,776 | ||||||
Hunt Cos., Inc. | ||||||||
100,000 | 5.250%, 04/15/2029(b) | 98,137 | ||||||
Iron Mountain, Inc. | ||||||||
25,000 | 4.500%, 02/15/2031(b) | 25,389 | ||||||
150,000 | 5.625%, 07/15/2032(b) | 161,062 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. |
| |||||||
200,000 | 5.000%, 08/15/2028(b) | 203,250 | ||||||
Kennedy-Wilson, Inc. | ||||||||
100,000 | 5.000%, 03/01/2031 | 102,375 | ||||||
Kuvare US Holdings, Inc. | ||||||||
100,000 | 7.000%, 02/17/2051(b)(e) | 107,907 | ||||||
Liberty Mutual Group, Inc. | ||||||||
220,000 | 4.300%, 02/01/2061(b) | 210,023 | ||||||
LPL Holdings, Inc. | ||||||||
150,000 | 4.000%, 03/15/2029(b) | 154,252 | ||||||
Markel Corp. | ||||||||
210,000 | 6.000%, 06/01/2025(a)(e) | 232,942 | ||||||
MetLife, Inc. | ||||||||
70,000 | 3.850%, 09/15/2025(a)(e) | 73,588 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||
$130,000 | 4.350%, 04/30/2050(b)(i) | $ | 148,009 | |||||
NFP Corp. | ||||||||
70,000 | 6.875%, 08/15/2028(b) | 71,569 | ||||||
OFS Capital Corp. | ||||||||
620,000 | 4.750%, 02/10/2026 | 629,587 | ||||||
OneAmerica Financial Partners, Inc. |
| |||||||
70,000 | 4.250%, 10/15/2050(b) | 74,730 | ||||||
OneMain Finance Corp. | ||||||||
100,000 | 4.000%, 09/15/2030 | 99,625 | ||||||
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. | ||||||||
440,000 | 6.375%, 12/15/2022(b) | 443,564 | ||||||
PartnerRe Finance B LLC | ||||||||
615,000 | 4.500%, 10/01/2050(e) | 648,552 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
150,000 | 3.875%, 03/01/2031(b) | 151,500 | ||||||
Scentre Group Trust | ||||||||
610,000 | 5.125%, 09/24/2080(b)(e) | 656,329 | ||||||
Sirius International Group Ltd. |
| |||||||
700,000 | 4.600%, 11/01/2026(b) | 717,192 | ||||||
Stellus Capital Investment Corp. |
| |||||||
425,000 | 4.875%, 03/30/2026 | 438,129 | ||||||
Strategic Credit Opportunities Partners LLC | ||||||||
345,000 | 4.250%, 04/01/2026 | 355,989 | ||||||
Trinity Capital, Inc. | ||||||||
320,000 | 4.375%, 08/24/2026 | 320,569 | ||||||
United Insurance Holdings Corp. |
| |||||||
530,000 | 6.250%, 12/15/2027 | 541,076 | ||||||
United Wholesale Mortgage LLC |
| |||||||
100,000 | 5.500%, 11/15/2025(b) | 100,928 | ||||||
100,000 | 5.500%, 04/15/2029(b) | 97,235 | ||||||
Wells Fargo & Co. | ||||||||
100,000 | 3.900%, 03/15/2026(a)(e) | 103,187 | ||||||
Wilton RE Ltd. | ||||||||
250,000 | 6.000%, 10/22/2030(a)(b)(e) | 272,662 | ||||||
|
| |||||||
15,100,284 | ||||||||
|
| |||||||
Industrial: 2.0% | ||||||||
Arcosa, Inc. | ||||||||
100,000 | 4.375%, 04/15/2029(b) | 101,375 | ||||||
Atkore, Inc. | ||||||||
100,000 | 4.250%, 06/01/2031(b) | 103,125 | ||||||
Boeing Co. (The) | ||||||||
200,000 | 5.150%, 05/01/2030(i) | 234,361 | ||||||
100,000 | 5.705%, 05/01/2040(i) | 127,527 | ||||||
100,000 | 5.805%, 05/01/2050 | 133,057 | ||||||
Cleaver-Brooks, Inc. | ||||||||
100,000 | 7.875%, 03/01/2023(b) | 98,625 | ||||||
Flowserve Corp. | ||||||||
60,000 | 3.500%, 10/01/2030 | 62,658 | ||||||
GrafTech Finance, Inc. | ||||||||
105,000 | 4.625%, 12/15/2028(b) | 107,887 | ||||||
Great Lakes Dredge & Dock Corp. |
| |||||||
100,000 | 5.250%, 06/01/2029(b) | 103,625 | ||||||
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd. |
| |||||||
50,000 | 7.375%, 12/15/2023(b) | 51,000 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial (continued) | ||||||||
Harsco Corp. | ||||||||
$125,000 | 5.750%, 07/31/2027(b) | $ | 129,687 | |||||
Intertape Polymer Group, Inc. | ||||||||
100,000 | 4.375%, 06/15/2029(b) | 101,786 | ||||||
James Hardie International Finance DAC | ||||||||
250,000 | 5.000%, 01/15/2028(b) | 262,812 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
50,000 | 8.500%, 04/15/2024(b) | 52,057 | ||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
75,000 | 9.750%, 07/15/2028(b) | 81,682 | ||||||
PowerTeam Services LLC | ||||||||
110,000 | 9.033%, 12/04/2025(b) | 119,487 | ||||||
Standard Industries, Inc. | ||||||||
50,000 | 4.375%, 07/15/2030(b) | 51,063 | ||||||
25,000 | 3.375%, 01/15/2031(b) | 23,824 | ||||||
TopBuild Corp. | ||||||||
50,000 | 3.625%, 03/15/2029(b) | 50,390 | ||||||
|
| |||||||
1,996,028 | ||||||||
|
| |||||||
Technology: 0.8% | ||||||||
AMS AG | ||||||||
265,000 | 7.000%, 07/31/2025(b) | 284,727 | ||||||
Boxer Parent Co., Inc. | ||||||||
50,000 | 7.125%, 10/02/2025(b) | 53,438 | ||||||
Brunello Bidco SpA | ||||||||
| 100,000 (EUR) | | 3.750%, 02/15/2028(b)(c) | 115,956 | ||||
CDK Global, Inc. | ||||||||
50,000 | 5.250%, 05/15/2029(b) | 54,167 | ||||||
NCR Corp. | ||||||||
100,000 | 5.250%, 10/01/2030(b) | 105,029 | ||||||
Playtika Holding Corp. | ||||||||
100,000 | 4.250%, 03/15/2029(b) | 100,444 | ||||||
Twilio, Inc. | ||||||||
100,000 | 3.875%, 03/15/2031 | 102,506 | ||||||
|
| |||||||
816,267 | ||||||||
|
| |||||||
Utilities: 1.4% | ||||||||
Clearway Energy Operating LLC | ||||||||
100,000 | 3.750%, 02/15/2031(b) | 100,375 | ||||||
Edison International | ||||||||
700,000 | 5.375%, 03/15/2026(a)(e) | 724,710 | ||||||
Terraform Global Operating LLC | ||||||||
25,000 | 6.125%, 03/01/2026(b) | 25,805 | ||||||
Vistra Operations Co. LLC | ||||||||
535,000 | 5.000%, 07/31/2027(b) | 553,056 | ||||||
|
| |||||||
1,403,946 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 31,888,991 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 18.3% | ||||||||
United States Treasury Note | ||||||||
2,600,000 | 2.625%, 12/15/2021 | 2,613,754 | ||||||
1,900,000 | 2.375%, 03/15/2022 | 1,920,231 | ||||||
2,500,000 | 1.750%, 06/15/2022(j) | 2,529,191 |
Principal Amount^ | Value | |||||||
$2,000,000 | 1.500%, 09/15/2022(j) | $ | 2,026,737 | |||||
2,200,000 | 1.625%, 12/15/2022(j) | 2,239,832 | ||||||
2,400,000 | 0.500%, 03/15/2023(j) | 2,411,578 | ||||||
2,400,000 | 0.250%, 06/15/2023 | 2,400,984 | ||||||
1,900,000 | 0.125%, 09/15/2023 | 1,894,508 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 18,036,815 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 6.9% | ||||||||
ACRE Commercial Mortgage Ltd. | ||||||||
250,000 | Series 2021-FL4-D | 248,721 | ||||||
Alternative Loan Trust | ||||||||
149,423 | Series 2007-OA4-A1 | 143,459 | ||||||
154,129 | Series 2007-OA7-A1A | 148,503 | ||||||
BX Commercial Mortgage Trust | ||||||||
220,917 | Series 2019-XL-F | 221,505 | ||||||
220,917 | Series 2019-XL-G | 221,893 | ||||||
BXMT Ltd. | ||||||||
250,000 | Series 2020-FL2-D | 249,841 | ||||||
100,000 | Series 2020-FL3-D | 100,906 | ||||||
CD Mortgage Trust | ||||||||
1,004,196 | Series 2017-CD4-XA | 51,208 | ||||||
CGMS Commercial Mortgage Trust | ||||||||
260,000 | Series 2017-MDRC-E | 246,217 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
570,000 | Series 2018-SITE-E | 554,033 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
480,000 | Series 2018-SITE-C | 497,264 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates | ||||||||
2,804,069 | Series 2015-R1-XA1 | 188,466 | ||||||
4,464,805 | Series 2015-R1-XA3 | 255,206 | ||||||
GPMT Ltd. | ||||||||
200,000 | Series 2018-FL1-C | 199,594 |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
GS Mortgage Securities Corp. Trust | ||||||||
$250,000 | Series 2020-DUNE-E | $ | 244,076 | |||||
250,000 | Series 2020-UPTN-E | 253,547 | ||||||
HarborView Mortgage Loan Trust | ||||||||
256,998 | Series 2006-12-2A2A | 249,472 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
1,750,930 | Series 2016-JP2-XA | 125,272 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
203,586 | Series 2017-C5-XA | 8,527 | ||||||
Residential Accredit Loans, Inc. Trust | ||||||||
388,535 | Series 2006-QO6-A1 | 122,860 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
1,150,000 | 3.500%, 10/01/2051(l) | 1,216,821 | ||||||
1,150,000 | 2.500%, 11/01/2051(l) | 1,182,883 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
933,800 | Series 2016-BNK1-XA | 65,239 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED SECURITIES | 6,795,513 | ||||||
|
| |||||||
MUNICIPAL BOND: 0.0% | ||||||||
Indiana: 0.0% | ||||||||
Knox County Industry Economic Development Revenue | ||||||||
5,000 | Series B | 5,388 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BOND | 5,388 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS: 5.5% | ||||||||
Shares | ||||||||
MONEY MARKET FUND: 1.3% | ||||||||
1,244,586 | State Street Institutional Treasury Money Market Fund - Premier Class, 0.010%(m) | 1,244,586 | ||||||
|
| |||||||
| TOTAL MONEY MARKET FUND | 1,244,586 | ||||||
|
|
Principal Amount^ | Value | |||||||
REPURCHASE AGREEMENTS: 4.1% | ||||||||
$4,010,513 | Fixed Income Clearing Corp. 0.000%, 9/30/2021, due 10/01/2021 [collateral: par value $4.090,500, U.S. Treasury Note, 1.250%, due 06/30/2028 value $4,090,959] (proceeds $4,010,513) | $ | 4,010,513 | |||||
|
| |||||||
TREASURY BILL: 0.1% | ||||||||
United States Treasury Bill | ||||||||
50,000 | 0.043%, 02/24/2022(j)(n) | 49,991 | ||||||
|
| |||||||
| TOTAL TREASURY BILL | 49,991 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 5,305,090 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS | 171,050 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $105,334,921): 108.3% | 106,738,226 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (8.3)% | (8,141,832 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 98,596,394 | ||||||
|
|
Percentages are stated as a percent of net assets.
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate | |
L.P. | Limited Partnership | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Perpetual Call. | |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(c) | Floating Interest Rate at September 30, 2021. | |
(d) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2021. | |
(e) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2021. | |
(f) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(g) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(h) | When issued security. | |
(i) | All or a portion of the security has been pledged as collateral against open reverse repurchase agreements. As of September 30, 2021 , the market value of securities pledged amounted to $894,493. | |
(j) | Securities with an aggregate fair value of $7,039,703 have been pledged as collateral for options, credit default swaps, interest rate swaps, securities sold short and futures positions. | |
(k) | Interest Only security. Security with a notional or nominal principal amount. |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
(l) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement date. | |
(m) | The rate disclosed is the 7 day net yield as of September 30, 2021. | |
(n) | The rate shown represents yield-to-maturity. |
CURRENCY ABBREVIATIONS:
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
ILS | Israeli New Shekel | |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2021, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
Seaport Financing LLC, 0.000%, 10/31/2023 | $ | 100,000 | $ | 98,180 | $ | (1,820 | ) | |||||
Venture Global Calcasieu Pass LLC, 0.831%, 08/19/2026 | 21,387 | 20,424 | (963 | ) | ||||||||
Higginbotham Insurance Agency, Inc., 1.000%, 11/25/2026 | 4,046 | 4,016 | (30 | ) | ||||||||
MB2 Dental Solutions LLC, 1.000%, 01/29/2027 | 11,970 | 11,851 | (119 | ) | ||||||||
Service Logic Acquisition, Inc., 4.000%, 10/29/2027 | 15,991 | 16,071 | 80 | |||||||||
National Mentor Holdings, Inc., 3.750%, 03/2/2028 | 4,467 | 4,472 | 5 | |||||||||
TricorBraun Holdings, Inc., 3.250%, 03/3/2028 | 12,089 | 12,038 | (51 | ) | ||||||||
SCP Eye Care Services LLC, 4.500%, 03/16/2028 | 14,773 | 14,791 | 18 | |||||||||
DG Investment Intermediate Holdings 2, Inc., 3.750%, 03/31/2028 | 1,325 | 1,331 | 6 | |||||||||
HighTower Holdings LLC, 4.000%, 04/21/2028 | 20,000 | 20,028 | 28 | |||||||||
Imagefirst Holdings LLC, 4.500%, 04/27/2028 | 14,074 | 14,074 | — | |||||||||
Eisner Advisory Group LLC, 2.625%, 07/28/2028 | 90,909 | 91,137 | 228 | |||||||||
Sovos Compliance LLC, 0.000%, 08/11/2028 | 14,726 | 14,830 | 104 | |||||||||
Pro Mach Group, Inc., 0.000%, 08/31/2028 | 13,966 | 14,046 | 80 | |||||||||
LendingTree, Inc., 0.000%, 09/15/2028 | 560,000 | 560,700 | 700 | |||||||||
|
|
|
| |||||||||
TOTAL | $ | 897,989 | $ | (1,734 | ) | |||||||
|
|
|
|
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 101,767,168 | ||
|
| |||
Gross unrealized appreciation | 2,243,066 | |||
Gross unrealized depreciation | (851,247 | ) | ||
|
| |||
Net unrealized appreciation | $ | 1,391,819 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at September 30, 2021 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||
S&P 500 Index | Citibank N.A. | $ | 4,340.00 | 11/19/2021 | 6 | $ | 2,584,524 | $ | 78,780 | $ | 73,770 | $ | 5,010 | |||||||||||||||||
INTEREST RATE SWAPTIONS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Bank of America N.A. | 0.40 | 7/29/2022 | 9,000,000 | 9,000,000 | 51,424 | 20,810 | 30,614 | ||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Goldman Sachs International | 0.61 | 7/29/2022 | 4,100,000 | 4,100,000 | 16,276 | 5,945 | 10,331 | ||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Morgan Stanley & Co. | 0.40 | 7/29/2022 | 4,300,000 | 4,300,000 | 24,570 | 10,320 | 14,250 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | 92,270 | 37,075 | 55,195 | |||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options |
| $ | 171,050 | $ | 110,845 | $ | 60,205 | |||||||||||||||||||||||
|
|
|
|
|
|
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES SOLD SHORT at September 30, 2021 (Unaudited)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES: (2.5)% | ||||||||
Uniform Mortgage-Backed Securities | ||||||||
$(1,150,000) | 3.500%, 11/01/2051(l) | $ | (1,217,675 | ) | ||||
(1,150,000) | 3.500%, 10/01/2051(l) | (1,216,821 | ) | |||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | (2,434,496 | ) | |||||
|
| |||||||
| TOTAL SECURITIES SOLD SHORT | $ | (2,434,496 | ) | ||||
|
|
PartnerSelect High Income Alternatives Fund
REVERSE REPURCHASE AGREEMENTS at September 30, 2021 (Unaudited)
Principal Amount | Value | |||||||
$(123,659) | Bank of America N.A. 0.280%, trade date 5/4/2021, due 05/04/2022, repurchase amount $123,659 | $ | (123,659 | ) | ||||
(106,519) | Barclays Capital Plc 0.290%, trade date 6/9/2021, due 06/09/2022, repurchase amount $106,519 | (106,519 | ) | |||||
(130,799) | BMO Capital Markets Corp. 0.350%, trade date 3/17/2021, due 03/17/2022, repurchase amount $130,799 | (130,799 | ) | |||||
(118,750) | BMO Capital Markets Corp. 0.300%, trade date 5/4/2021, due 05/04/2022, repurchase amount $118,750 | (118,750 | ) | |||||
(211,000) | JPMorgan Chase & Co. 0.300%, trade date 2/26/2021, due 02/26/2022, repurchase amount $211,000 | (211,000 | ) | |||||
(142,000) | JPMorgan Chase & Co. 0.300%, trade date 3/10/2021, due 03/10/2022, repurchase amount $142,000 | (142,000 | ) | |||||
|
| |||||||
| TOTAL REVERSE REPURCHASE | $ | (832,727 | ) | ||||
|
|
Securities pledged as collateral against open reverse repurchase agreements are noted in the Schedule of Investments.
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2021 (Unaudited)
At September 30, 2021, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2021 | Fund Delivering | U.S. $ Value at September 30, 2021 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
Bank of America N.A. | 10/18/2021 | USD | $ | 140,770 | GBP | $ | 137,386 | $ | 3,384 | $ | — | |||||||||||
1/31/2022 | USD | 93,833 | ILS | 98,149 | — | (4,316 | ) | |||||||||||||||
Goldman Sachs International | 10/18/2021 | USD | 79,587 | CAD | 79,714 | — | (127 | ) | ||||||||||||||
1/31/2022 | ILS | 112,872 | USD | 98,692 | 14,180 | — | ||||||||||||||||
1/31/2022 | ILS | 112,872 | USD | 99,610 | 13,262 | — | ||||||||||||||||
1/31/2022 | USD | 121,979 | ILS | 127,594 | — | (5,615 | ) | |||||||||||||||
Morgan Stanley & Co. | 10/18/2021 | USD | 118,115 | EUR | 115,810 | 2,305 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 780,028 | $ | 756,955 | $ | 33,131 | $ | (10,058 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2021 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts—Short | ||||||||||||||||||||
5YR U.S. Treasury Notes | (12 | ) | $ | (1,480,260 | ) | $ | (1,472,906 | ) | 12/31/2021 | $ | 7,354 | |||||||||
10YR U.S. Treasury Notes | (10 | ) | (1,334,975 | ) | (1,316,094 | ) | 12/21/2021 | 18,881 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 26,235 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | 26,235 | ||||||||||||||||||
|
|
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2021 (Unaudited)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||||||||
Notional | Maturity Date | Payment Received | Payment Made | Periodic Payment Frequency | Fair Value | Upfront Payment Made (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
$ 420,000 | 4/28/2031 | 3 Month LIBOR | 1.583 | % | Quarterly | $ | (2,409 | ) | $ | 2,720 | $ | (5,129 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2021 | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Received | Unrealized Appreciation | ||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||
CDX North America High Yield Index Series 36 | 6/20/2026 | (5.000 | %) | 2.898 | % | $ | (1,200,000 | ) | Quarterly | $ | (109,377 | ) | $ | (112,076 | ) | $ | 2,699 | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Buy Protection |
| $ | (109,377 | ) | $ | (112,076 | ) | $ | 2,699 | |||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 36. |
PartnerSelect High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2021 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | $ | 2,175.00 | 10/1/2021 | (1) | $ | (220,437 | ) | $ | (450 | ) | $ | (4,189 | ) | $ | 3,739 | ||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,215.00 | 10/1/2021 | (1) | (220,437 | ) | (1,875 | ) | (3,389 | ) | 1,514 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,110.00 | 10/8/2021 | (1) | (220,437 | ) | (908 | ) | (4,199 | ) | 3,291 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,230.00 | 10/8/2021 | (1) | (220,437 | ) | (4,586 | ) | (3,679 | ) | (907 | ) | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,235.00 | 10/8/2021 | (1) | (220,437 | ) | (4,861 | ) | (3,659 | ) | (1,202 | ) | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,170.00 | 10/15/2021 | (2) | (440,874 | ) | (6,564 | ) | (7,568 | ) | 1,004 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,200.00 | 10/15/2021 | (1) | (220,437 | ) | (4,148 | ) | (4,379 | ) | 231 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,110.00 | 10/22/2021 | (1) | (220,437 | ) | (2,630 | ) | (5,699 | ) | 3,069 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,165.00 | 10/22/2021 | (1) | (220,437 | ) | (3,895 | ) | (4,209 | ) | 314 | |||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,180.00 | 10/22/2021 | (1) | (220,437 | ) | (4,452 | ) | (4,389 | ) | (63 | ) | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 2,200.00 | 10/29/2021 | (2) | (440,874 | ) | (12,274 | ) | (7,988 | ) | (4,286 | ) | ||||||||||||||||||
S&P 500 Index | Citibank N.A. | 3,980.00 | 11/19/2021 | (6) | (2,584,524 | ) | (24,726 | ) | (34,592 | ) | 9,866 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,370.00 | 10/1/2021 | (1) | (430,754 | ) | (6,081 | ) | (4,639 | ) | (1,442 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,395.00 | 10/1/2021 | (2) | (861,508 | ) | (14,802 | ) | (7,835 | ) | (6,967 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,210.00 | 10/8/2021 | (5) | (2,153,770 | ) | (11,675 | ) | (32,211 | ) | 20,536 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,220.00 | 10/15/2021 | (1) | (430,754 | ) | (3,840 | ) | (3,899 | ) | 59 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,330.00 | 10/15/2021 | (1) | (430,754 | ) | (7,068 | ) | (4,859 | ) | (2,209 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,350.00 | 10/15/2021 | (4) | (1,723,016 | ) | (34,160 | ) | (16,796 | ) | (17,364 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,370.00 | 10/15/2021 | (4) | (1,723,016 | ) | (38,448 | ) | (17,316 | ) | (21,132 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,210.00 | 10/22/2021 | (3) | (1,292,262 | ) | (16,431 | ) | (26,281 | ) | 9,850 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,330.00 | 10/22/2021 | (1) | (430,754 | ) | (8,032 | ) | (5,879 | ) | (2,153 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,340.00 | 10/22/2021 | (6) | (2,584,524 | ) | (60,318 | ) | (24,054 | ) | (36,264 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,220.00 | 10/29/2021 | (3) | (1,292,262 | ) | (20,901 | ) | (19,377 | ) | (1,524 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,240.00 | 10/29/2021 | (3) | (1,292,262 | ) | (22,506 | ) | (19,741 | ) | (2,765 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,255.00 | 10/29/2021 | (1) | (430,754 | ) | (6,163 | ) | (6,759 | ) | 596 | |||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,330.00 | 10/29/2021 | (1) | (430,754 | ) | (8,844 | ) | (4,669 | ) | (4,175 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,340.00 | 10/29/2021 | (2) | (861,508 | ) | (18,914 | ) | (9,958 | ) | (8,956 | ) | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 4,220.00 | 11/5/2021 | (1) | (430,754 | ) | (7,608 | ) | (7,509 | ) | (99 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (357,160 | ) | $ | (299,721 | ) | $ | (57,439 | ) | ||||||||||||||||||||
|
|
|
|
|
|
iM Dolan McEniry Corporate Bond Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Principal Amount^ | Value | |||||||
CORPORATE BONDS: 93.0% | ||||||||
Basic Materials: 2.2% | ||||||||
RPM International, Inc. | ||||||||
$112,000 | 3.450%, 11/15/2022 | $ | 114,767 | |||||
Steel Dynamics, Inc. | ||||||||
1,431,000 | 2.400%, 06/15/2025 | 1,489,630 | ||||||
679,000 | 5.000%, 12/15/2026 | 700,440 | ||||||
|
| |||||||
2,304,837 | ||||||||
|
| |||||||
Communications: 18.1% | ||||||||
AMC Networks, Inc. | ||||||||
228,000 | 5.000%, 04/01/2024 | 231,246 | ||||||
1,833,000 | 4.750%, 08/01/2025 | 1,881,116 | ||||||
582,000 | 4.250%, 02/15/2029 | 579,454 | ||||||
AT&T, Inc. | ||||||||
143,000 | 3.800%, 02/15/2027 | 158,317 | ||||||
1,516,000 | 4.250%, 03/01/2027 | 1,717,505 | ||||||
403,000 | 4.100%, 02/15/2028 | 453,999 | ||||||
Booking Holdings, Inc. | ||||||||
1,193,000 | 3.600%, 06/01/2026 | 1,312,495 | ||||||
Discovery Communications LLC | ||||||||
196,000 | 2.950%, 03/20/2023 | 202,803 | ||||||
62,000 | 3.800%, 03/13/2024 | 66,139 | ||||||
1,800,000 | 3.950%, 03/20/2028 | 1,993,355 | ||||||
Lumen Technologies, Inc. | ||||||||
215,000 | 5.800%, 03/15/2022 | 219,354 | ||||||
2,062,000 | 7.500%, 04/01/2024 | 2,286,243 | ||||||
Motorola Solutions, Inc. | ||||||||
720,000 | 4.000%, 09/01/2024 | 784,174 | ||||||
1,396,000 | 4.600%, 02/23/2028 | 1,608,830 | ||||||
TEGNA, Inc. | ||||||||
2,699,000 | 4.625%, 03/15/2028 | 2,762,696 | ||||||
Verizon Communications, Inc. | ||||||||
305,000 | 3.376%, 02/15/2025 | 330,200 | ||||||
1,899,000 | 4.125%, 03/16/2027 | 2,153,693 | ||||||
|
| |||||||
18,741,619 | ||||||||
|
| |||||||
Consumer, Cyclical: 4.6% | ||||||||
Dollar Tree, Inc. | ||||||||
229,000 | 3.700%, 05/15/2023 | 240,093 | ||||||
747,000 | 4.000%, 05/15/2025 | 816,433 | ||||||
1,123,000 | 4.200%, 05/15/2028 | 1,265,048 | ||||||
QVC, Inc. | ||||||||
198,000 | 4.850%, 04/01/2024 | 214,088 | ||||||
281,000 | 4.450%, 02/15/2025 | 301,021 | ||||||
1,844,000 | 4.750%, 02/15/2027 | 1,956,945 | ||||||
|
| |||||||
4,793,628 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 28.2% | ||||||||
Altria Group, Inc. | ||||||||
1,823,000 | 4.400%, 02/14/2026 | 2,047,320 | ||||||
224,000 | 4.800%, 02/14/2029 | 257,402 | ||||||
Becton Dickinson & Co. | ||||||||
94,000 | 3.363%, 06/06/2024 | 99,966 | ||||||
50,000 | 3.734%, 12/15/2024 | 54,045 | ||||||
Block Financial LLC | ||||||||
2,315,000 | 2.500%, 07/15/2028 | 2,347,734 | ||||||
Conagra Brands, Inc. | ||||||||
1,593,000 | 4.300%, 05/01/2024 | 1,727,158 | ||||||
654,000 | 4.600%, 11/01/2025 | 735,179 | ||||||
Global Payments, Inc. | ||||||||
276,000 | 3.750%, 06/01/2023 | 288,432 | ||||||
630,000 | 2.650%, 02/15/2025 | 658,522 | ||||||
1,283,000 | 4.800%, 04/01/2026 | 1,457,732 |
Principal Amount^ | Value | |||||||
Consumer, Non-cyclical (continued) | ||||||||
HCA, Inc. | ||||||||
$775,000 | 5.375%, 09/01/2026 | $ | 887,685 | |||||
1,182,000 | 5.625%, 09/01/2028 | 1,407,703 | ||||||
IHS Markit Ltd. | ||||||||
732,000 | 4.125%, 08/01/2023 | 776,981 | ||||||
299,000 | 3.625%, 05/01/2024 | 318,570 | ||||||
688,000 | 4.750%, 08/01/2028 | 806,405 | ||||||
Kraft Heinz Foods Co. | ||||||||
939,000 | 3.000%, 06/01/2026 | 989,559 | ||||||
1,312,000 | 3.875%, 05/15/2027 | 1,432,663 | ||||||
Molson Coors Beverage Co. | ||||||||
2,303,000 | 3.000%, 07/15/2026 | 2,460,570 | ||||||
Reynolds American, Inc. | ||||||||
209,000 | 4.850%, 09/15/2023 | 226,266 | ||||||
2,042,000 | 4.450%, 06/12/2025 | 2,253,588 | ||||||
Service Corp. International | ||||||||
1,229,000 | 4.625%, 12/15/2027 | 1,290,450 | ||||||
531,000 | 5.125%, 06/01/2029 | 577,940 | ||||||
United Rentals North America, Inc. | ||||||||
1,923,000 | 5.500%, 05/15/2027 | 2,022,515 | ||||||
Verisk Analytics, Inc. | ||||||||
708,000 | 4.125%, 09/12/2022 | 733,199 | ||||||
855,000 | 4.000%, 06/15/2025 | 941,945 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
16,000 | 3.150%, 04/01/2022 | 16,151 | ||||||
1,509,000 | 3.550%, 04/01/2025 | 1,622,377 | ||||||
730,000 | 3.050%, 01/15/2026 | 780,967 | ||||||
|
| |||||||
29,219,024 | ||||||||
|
| |||||||
Financial: 6.5% | ||||||||
American Tower Corp. | ||||||||
35,000 | 4.700%, 03/15/2022 | 35,678 | ||||||
426,000 | 3.500%, 01/31/2023 | 443,528 | ||||||
799,000 | 4.000%, 06/01/2025 | 872,287 | ||||||
1,003,000 | 3.375%, 10/15/2026 | 1,086,086 | ||||||
SBA Communications Corp. | ||||||||
843,000 | 4.875%, 09/01/2024 | 858,714 | ||||||
962,000 | 3.875%, 02/15/2027 | 998,075 | ||||||
Trinity Acquisition Plc | ||||||||
715,000 | 4.400%, 03/15/2026 | 799,393 | ||||||
Willis North America, Inc. | ||||||||
230,000 | 3.600%, 05/15/2024 | 245,457 | ||||||
1,217,000 | 4.500%, 09/15/2028 | 1,394,465 | ||||||
|
| |||||||
6,733,683 | ||||||||
|
| |||||||
Industrial: 9.2% | ||||||||
Allegion US Holding Co., Inc. | ||||||||
1,187,000 | 3.200%, 10/01/2024 | 1,258,571 | ||||||
Carlisle Cos., Inc. | ||||||||
98,000 | 3.750%, 11/15/2022 | 100,773 | ||||||
336,000 | 3.500%, 12/01/2024 | 359,944 | ||||||
1,540,000 | 3.750%, 12/01/2027 | 1,701,255 | ||||||
Carrier Global Corp. | ||||||||
203,000 | 2.242%, 02/15/2025 | 210,342 | ||||||
2,225,000 | 2.493%, 02/15/2027 | 2,326,568 | ||||||
Fortune Brands Home & Security, Inc. | ||||||||
1,854,000 | 4.000%, 09/21/2023 | 1,972,467 | ||||||
284,000 | 4.000%, 06/15/2025 | 310,496 | ||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
1,221,000 | 4.400%, 03/15/2024 | 1,312,806 | ||||||
|
| |||||||
9,553,222 | ||||||||
|
|
iM Dolan McEniry Corporate Bond Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Technology: 24.2% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
$1,569,000 | 3.875%, 01/15/2027 | $ | 1,725,145 | |||||
Broadcom, Inc. | ||||||||
363,000 | 3.459%, 09/15/2026 | 392,850 | ||||||
CA, Inc. | ||||||||
231,000 | 4.700%, 03/15/2027 | 258,529 | ||||||
CDK Global, Inc. | ||||||||
127,000 | 5.000%, 10/15/2024 | 140,261 | ||||||
997,000 | 4.875%, 06/01/2027 | 1,045,334 | ||||||
1,248,000 | 5.250%, 05/15/2029(a) | 1,352,021 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
256,000 | 5.500%, 12/01/2024 | 282,240 | ||||||
564,000 | 4.125%, 05/01/2025 | 585,150 | ||||||
1,322,000 | 4.250%, 04/01/2028 | 1,381,292 | ||||||
228,000 | 3.250%, 02/15/2029 | 233,985 | ||||||
Citrix Systems, Inc. | ||||||||
2,148,000 | 4.500%, 12/01/2027 | 2,377,715 | ||||||
Fiserv, Inc. | ||||||||
787,000 | 3.200%, 07/01/2026 | 849,708 | ||||||
1,289,000 | 2.250%, 06/01/2027 | 1,329,650 | ||||||
HP, Inc. | ||||||||
1,847,000 | 3.000%, 06/17/2027 | 1,972,531 | ||||||
KLA-Tencor Corp. | ||||||||
1,593,000 | 4.650%, 11/01/2024 | 1,757,493 | ||||||
Microchip Technology, Inc. | ||||||||
1,977,000 | 4.250%, 09/01/2025 | 2,067,532 | ||||||
Oracle Corp. | ||||||||
2,447,000 | 2.300%, 03/25/2028 | 2,502,677 | ||||||
Qorvo, Inc. | ||||||||
2,281,000 | 4.375%, 10/15/2029 | 2,489,141 | ||||||
Western Digital Corp. | ||||||||
2,113,000 | 4.750%, 02/15/2026 | 2,344,796 | ||||||
|
| |||||||
25,088,050 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 96,434,063 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $95,596,555): 93.0% | 96,434,063 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 7.0% | 7,238,216 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 103,672,279 | ||||||
|
|
Percentages are stated as a percent of net assets.
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 95,596,555 | ||
|
| |||
Gross unrealized appreciation | 1,048,785 | |||
Gross unrealized depreciation | (211,277 | ) | ||
|
| |||
Net unrealized appreciation | $ | 837,508 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iM DBi Hedge Strategy ETF
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Principal | Value | |||||||
SHORT-TERM INVESTMENTS: 81.2% | ||||||||
TREASURY BILLS: 81.2% (a)(b) | ||||||||
United States Treasury Bill | ||||||||
$81,000 | 0.016%, 10/05/2021 | $ | 81,000 | |||||
858,000 | 0.023%, 10/07/2021 | 857,996 | ||||||
178,000 | 0.017%, 10/14/2021 | 177,999 | ||||||
42,000 | 0.060%, 10/19/2021 | 41,999 | ||||||
639,000 | 0.069%, 10/21/2021 | 638,975 | ||||||
247,000 | 0.044%, 10/26/2021 | 246,992 | ||||||
716,000 | 0.064%, 10/28/2021 | 715,965 | ||||||
2,477,000 | 0.055%, 11/04/2021 | 2,476,869 | ||||||
561,000 | 0.042%, 11/12/2021 | 560,972 | ||||||
301,000 | 0.025%, 11/18/2021 | 300,990 | ||||||
3,206,000 | 0.034%, 11/26/2021 | 3,205,832 | ||||||
371,000 | 0.025%, 12/02/2021 | 370,984 | ||||||
208,000 | 0.025%, 12/16/2021 | 207,989 | ||||||
259,000 | 0.028%, 12/23/2021 | 258,983 | ||||||
490,000 | 0.028%, 01/06/2022 | 489,963 | ||||||
82,000 | 0.032%, 01/13/2022 | 81,993 | ||||||
111,000 | 0.032%, 01/20/2022 | 110,989 | ||||||
63,000 | 0.038%, 01/27/2022 | 62,992 | ||||||
891,000 | 0.040%, 02/03/2022 | 890,876 | ||||||
1,371,000 | 0.038%, 02/10/2022 | 1,370,812 | ||||||
1,701,000 | 0.040%, 02/17/2022 | 1,700,737 | ||||||
80,000 | 0.043%, 02/24/2022 | 79,986 | ||||||
59,000 | 0.040%, 03/03/2022 | 58,990 | ||||||
288,000 | 0.040%, 03/10/2022 | 287,949 | ||||||
163,000 | 0.040%, 03/17/2022 | 162,970 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 15,441,802 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 15,441,802 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $15,442,393): 81.2% | 15,441,802 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 18.8% | 3,570,738 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 19,012,540 | ||||||
|
|
Percentages are stated as a percent of net assets.
(a) | The rate shown represents yield-to-maturity. |
(b) | All or a portion of this security is held as collateral for certain futures contracts. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 15,442,393 | ||
|
| |||
Gross unrealized appreciation | 3 | |||
Gross unrealized depreciation | (594 | ) | ||
|
| |||
Net unrealized depreciation | $ | (591 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iM DBi Hedge Strategy ETF
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2021 (Unaudited) (a)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
Russel 2000 E-mini Futures | 21 | 2,341,169 | $ | 2,310,840 | 12/17/2021 | $ | (30,329 | ) | ||||||||||||
MSCI EAFE Index Futures | 21 | 2,479,445 | 2,380,350 | 12/17/2021 | (99,095 | ) | ||||||||||||||
Euro FX Currency Futures | 16 | 2,369,473 | 2,320,000 | 12/13/2021 | (49,473 | ) | ||||||||||||||
S&P Mid Cap 400 E-mini Futures | 16 | 4,303,477 | 4,213,120 | 12/17/2021 | (90,357 | ) | ||||||||||||||
Nasdaq 100 E-mini Future | 11 | 3,395,217 | 3,230,150 | 12/17/2021 | (165,067 | ) | ||||||||||||||
MSCI Emerging Market Index Futures | 9 | 584,000 | 560,520 | 12/17/2021 | (23,480 | ) | ||||||||||||||
British Pound Currency Futures | 6 | 517,148 | 505,313 | 12/13/2021 | (11,836 | ) | ||||||||||||||
Canadian Dollar Currency Futures | 5 | 394,779 | 394,950 | 12/14/2021 | 171 | |||||||||||||||
Japanese Yen Currency Futures | 5 | 567,131 | 561,312 | 12/13/2021 | (5,819 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (475,285 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
U.S. Treasury 2-Year Note Futures | (42 | ) | (9,249,256 | ) | $ | (9,242,297 | ) | 12/31/2021 | $ | 6,959 | ||||||||||
90-day Euro-Dollar Futures | (37 | ) | (9,200,466 | ) | (9,191,725 | ) | 3/13/2023 | 8,741 | ||||||||||||
U.S. Dollar Index Future | (25 | ) | (2,317,060 | ) | (2,356,000 | ) | 12/13/2021 | (38,940 | ) | |||||||||||
U.S. Treasury Long Bond Futures | (4 | ) | (649,923 | ) | (636,875 | ) | 12/21/2021 | 13,048 | ||||||||||||
U.S. Treasury Ultra Bond Futures | (3 | ) | (589,875 | ) | (573,187 | ) | 12/21/2021 | 16,688 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 6,496 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (468,789 | ) | |||||||||||||||||
|
|
(a) | Mizuho Securities USA LLC is the counterparty for all Open Futures Contracts held by the Fund at September 30, 2021. |
iM DBi Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)
Principal | Value | |||||||
SHORT-TERM INVESTMENTS: 72.6% | ||||||||
TREASURY BILLS: 72.6% (a)(b) | ||||||||
United States Treasury Bill | ||||||||
$1,074,000 | 0.069%, 10/21/2021 | $ | 1,073,957 | |||||
39,000 | 0.044%, 10/26/2021 | 38,999 | ||||||
1,878,000 | 0.064%, 10/28/2021 | 1,877,908 | ||||||
4,113,000 | 0.055%, 11/04/2021 | 4,112,783 | ||||||
1,207,000 | 0.042%, 11/12/2021 | 1,206,940 | ||||||
2,816,000 | 0.025%, 11/18/2021 | 2,815,906 | ||||||
8,308,000 | 0.034%, 11/26/2021(c) | 8,307,564 | ||||||
3,379,000 | 0.025%, 12/02/2021(c) | 3,378,854 | ||||||
685,000 | 0.020%, 12/09/2021(c) | 684,973 | ||||||
3,003,000 | 0.033%, 12/16/2021(c) | 3,002,840 | ||||||
861,000 | 0.028%, 12/23/2021(c) | 860,945 | ||||||
1,084,000 | 0.033%, 12/30/2021 | 1,083,912 | ||||||
1,830,000 | 0.028%, 01/06/2022(c) | 1,829,863 | ||||||
154,000 | 0.032%, 01/13/2022 | 153,986 | ||||||
1,073,000 | 0.032%, 01/20/2022(c) | 1,072,895 | ||||||
1,834,000 | 0.038%, 01/27/2022 | 1,833,775 | ||||||
3,554,000 | 0.040%, 02/03/2022(c) | 3,553,506 | ||||||
360,000 | 0.038%, 02/10/2022 | 359,951 | ||||||
1,551,000 | 0.040%, 02/17/2022(c) | 1,550,760 | ||||||
1,139,000 | 0.043%, 02/24/2022(c) | 1,138,804 | ||||||
184,000 | 0.040%, 03/03/2022(c) | 183,969 | ||||||
767,000 | 0.040%, 03/10/2022(c) | 766,864 | ||||||
1,422,000 | 0.040%, 03/17/2022 | 1,421,736 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 42,311,690 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 42,311,690 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $42,313,144): 72.6% | 42,311,690 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 27.4% | 15,938,175 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 58,249,865 | ||||||
|
|
Percentages are stated as a percent of net assets.
(a) | The rate shown represents yield-to-maturity. | |||
(b) | All or a portion of this security is held as collateral for certain futures contracts. | |||
(c) | All or a portion of this security is held by the iM DBi Cayman Managed Futures Subsidiary. |
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost of investments | $ | 42,313,144 | ||
|
| |||
Gross unrealized appreciation | 11 | |||
Gross unrealized depreciation | (1,465 | ) | ||
|
| |||
Net unrealized depreciation | $ | (1,454 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iM DBi Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2021 (Unaudited)(Continued)
CONSOLIDATED SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2021 (Unaudited) (a)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
WTI Crude Futures (b) | 154 | 10,746,351 | $ | 11,503,800 | 11/19/2021 | $ | 757,449 | |||||||||||||
S&P 500 E-mini Index Futures | 100 | 22,389,887 | 21,488,750 | 12/17/2021 | (901,137 | ) | ||||||||||||||
MSCI EAFE Index Futures | 205 | 24,051,354 | 23,236,750 | 12/17/2021 | (814,604 | ) | ||||||||||||||
20 Year U.S. Treasury Bonds | 70 | 11,429,217 | 11,145,312 | 12/21/2021 | (283,904 | ) | ||||||||||||||
U.S. Treasury Ultra Bond Futures | 57 | 11,323,523 | 10,890,563 | 12/21/2021 | (432,961 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (1,675,157 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
U.S. Treasury 10-Year Ultra Bond Futures | (48 | ) | (6,995,531 | ) | $ | (6,972,000 | ) | 12/21/2021 | $ | 23,531 | ||||||||||
10YR U.S. Treasury Notes | (54 | ) | (7,114,300 | ) | (7,106,906 | ) | 12/21/2021 | 7,394 | ||||||||||||
90-day Euro-Dollar Futures | (54 | ) | (13,424,215 | ) | (13,414,950 | ) | 3/13/2023 | 9,265 | ||||||||||||
Euro FX Currency Futures | (299 | ) | (44,149,980 | ) | (43,355,000 | ) | 12/13/2021 | 794,980 | ||||||||||||
Gold 100 Oz. Futures (b) | (39 | ) | (6,882,667 | ) | (6,852,300 | ) | 12/29/2021 | 30,367 | ||||||||||||
MSCI Emerging Markets Index | (156 | ) | (9,802,341 | ) | (9,715,680 | ) | 12/17/2021 | 86,661 | ||||||||||||
U.S. Treasury 2-Year Note Futures | (62 | ) | (13,648,145 | ) | (13,643,391 | ) | 12/31/2021 | 4,754 | ||||||||||||
Japanese Yen Currency Futures | (77 | ) | (8,743,567 | ) | (8,644,212 | ) | 12/13/2021 | 99,355 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 1,056,307 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (618,850 | ) | |||||||||||||||||
|
|
(a) | Societe Generale is the counterparty for all Open Futures Contracts held by the Fund and the iM DBi Cayman Managed Futures Subsidiary at September 30, 2021. |
(b) | Contract held by the iM DBi Cayman Managed Futures Subsidiary. |
Litman Gregory Funds Trust
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation. The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security’s value has materially changed after the close of the security’s primary market but before the close of trading on the New York Stock Exchange (“NYSE”), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds’ portfolio and the Trust’s Valuation Committee in accordance with procedures approved by the Board of Trustees (the “Board”). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities’ primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.
Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.
Certain derivatives trade in the over-the-counter market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Senior Term Loans. The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (“Lenders”), including banks. The Alternative Strategies Fund’s and the High Income Alternatives Fund’s investments may be in the form of participations in loans (“Participations”) or of assignments of all or a portion of loans from third parties (“Assignments”).
Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the Schedules of Investments.
Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
Repurchase Agreements. Each Fund may enter into repurchase agreements through which the Fund acquires a security (the “underlying security”) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust’s policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust’s policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At September 30, 2021, the Funds’ ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments in Securities.
Reverse repurchase agreements. The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are shown on the Schedules of Investments. Cash received in exchange for securities transferred under reverse repurchase agreements are reflected as reverse repurchase agreements on the Statements of Assets and Liabilities.
For the period ended September 30, 2021, the High Income Alternatives Fund had outstanding reverse repurchase agreement balance for 240 days. The average amount of borrowings was $1,942,181 and the average interest rate was 0.40% during the 240 day period.
Foreign Currency Translation. The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund’s net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on forward foreign currency exchange contracts. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on forward foreign currency exchange contracts. Counterparties to these forward contracts are major U.S. financial institutions.
Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.
Interest Rate Swaps. During the period ended September 30, 2021, the Alternative Strategies Fund and the High Income Alternatives Fund invested in interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the Over the counter (“OTC”) market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Credit Default Swaps. During the period ended September 30, 2021, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold). In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Total Return Swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (“LIBOR”) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure - that is, both market and credit exposure - to the reference asset. The total return payer - often the owner of the reference obligation - gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset.
Purchasing Put and Call Options. Each Fund may purchase covered “put” and “call” options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.
If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for “American-style” options) or on the option expiration date (for “European-style” options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put’s strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put’s strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.
If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.
Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a “closing sale transaction,” which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions.
Writing Call Options. Each Fund may write covered call options. A call option is “covered” if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a “closing purchase transaction.” This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.
Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund.
Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund.
Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.
A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to qualification of a Fund as a regulated investment company.
Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds’ Board of Trustees. As of September 30, 2021, there were no restricted securities held in the Funds.
Illiquid Securities. Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund’s portfolio, under the supervision of the Board, to ensure compliance with a Fund’s investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Fair Value of Financial Investments
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).
Level 3 – Significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are typically marked to market daily until settlement at the forward settlement date.
Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Repurchase agreements and reverse repurchase agreements are short-term investments, they are fair valued approximately at their principal amounts. Repurchase agreements and reverse repurchase agreements are categorized as Level 2 of the fair value hierarchy.
Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of September 30, 2021. These assets and liabilities are measured on a recurring basis.
Equity Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 263,152,851 | $ | — | $ | — | $ | 263,152,851 | ||||||||
Preferred Stock | 4,173,648 | — | — | 4,173,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 267,326,499 | — | — | 267,326,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 8,232,719 | — | 8,232,719 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 267,326,499 | $ | 8,232,719 | $ | — | $ | 275,559,218 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
International Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 5,544,771 | $ | — | $ | 5,544,771 | ||||||||
Canada | 7,342,752 | — | — | 7,342,752 | ||||||||||||
China | 3,808,882 | 14,315,471 | — | 18,124,353 | ||||||||||||
Denmark | — | 6,161,231 | — | 6,161,231 | ||||||||||||
Finland | — | 9,244,179 | — | 9,244,179 | ||||||||||||
France | — | 19,803,780 | — | 19,803,780 | ||||||||||||
Germany | — | 58,764,602 | — | 58,764,602 | ||||||||||||
Ireland | 38,820,144 | — | — | 38,820,144 | ||||||||||||
Israel | — | 10,134,063 | — | 10,134,063 | ||||||||||||
Japan | — | 3,043,922 | — | 3,043,922 | ||||||||||||
Mexico | 5,393,047 | — | — | 5,393,047 | ||||||||||||
Netherlands | 5,708,424 | 22,956,051 | — | 28,664,475 | ||||||||||||
South Africa | — | 1,202,727 | — | 1,202,727 | ||||||||||||
South Korea | — | 3,030,352 | — | 3,030,352 | ||||||||||||
Spain | — | 15,084,582 | — | 15,084,582 | ||||||||||||
Sweden | — | 9,480,239 | — | 9,480,239 | ||||||||||||
Switzerland | — | 25,525,914 | — | 25,525,914 | ||||||||||||
United Kingdom | — | 52,661,158 | — | 52,661,158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 61,073,249 | 256,953,042 | — | 318,026,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Convertible Bonds | ||||||||||||||||
Switzerland | — | 590,029 | — | 590,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 590,029 | — | 590,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 28,540,608 | — | 28,540,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 28,540,608 | — | 28,540,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 61,073,249 | $ | 286,083,679 | $ | — | $ | 347,156,928 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 48,836 | $ | — | $ | — | $ | 48,836 | ||||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
Oldfield International Value Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 1,229,100 | $ | — | $ | — | $ | 1,229,100 | ||||||||
China | — | 812,768 | — | 812,768 | ||||||||||||
Finland | — | 512,296 | — | 512,296 | ||||||||||||
France | — | 1,093,239 | — | 1,093,239 | ||||||||||||
Germany | — | 4,722,511 | — | 4,722,511 | ||||||||||||
Italy | — | 1,042,038 | — | 1,042,038 | ||||||||||||
Japan | — | 5,650,102 | — | 5,650,102 | ||||||||||||
Netherlands | — | 1,465,967 | — | 1,465,967 | ||||||||||||
South Korea | 1,001,563 | — | — | 1,001,563 | ||||||||||||
Sweden | — | 962,578 | — | 962,578 | ||||||||||||
United Kingdom | — | 5,536,147 | — | 5,536,147 | ||||||||||||
Preferred Stock | ||||||||||||||||
Germany | — | 665,373 | — | 665,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 2,230,663 | 22,463,019 | — | 24,693,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,230,663 | $ | 22,463,019 | $ | — | $ | 24,693,682 | ||||||||
|
|
|
|
|
|
|
|
SBH Focused Small Value Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 59,840,213 | $ | — | $ | — | $ | 59,840,213 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 59,840,213 | — | — | 59,840,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 59,840,213 | $ | — | $ | — | $ | 59,840,213 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Alternative Strategies Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 458,076,814 | $ | 10,120,623 | $ | 1,807,088 | ** | $ | 470,004,525 | |||||||
Preferred Stocks | 4,425,354 | 618,766 | 423,130 | ** | 5,467,250 | |||||||||||
Limited Partnerships | — | — | 2,085,469 | ** | 2,085,469 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 462,502,168 | 10,739,389 | 4,315,687 | ** | 477,557,244 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | 188,256 | — | — | 188,256 | ||||||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 148,233,545 | 16,026 | ** | 148,249,571 | |||||||||||
Bank Loans | — | 32,079,357 | 3,725,172 | ** | 35,804,529 | |||||||||||
Convertible Bonds | — | 23,004,231 | — | 23,004,231 | ||||||||||||
Corporate Bonds | — | 421,493,160 | — | 421,493,160 | ||||||||||||
Government Securities & Agency Issue | — | 35,245,483 | — | 35,245,483 | ||||||||||||
Mortgage-Backed Securities | — | 221,350,849 | 464,452 | (1) | 221,815,301 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 881,406,625 | 4,205,650 | ** | 885,612,275 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 109,828,213 | — | 109,828,213 | ||||||||||||
Treasury Bills | — | 39,187,995 | — | 39,187,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 149,016,208 | — | 149,016,208 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 132,274 | — | — | 132,274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 462,822,698 | $ | 1,041,162,222 | $ | 8,521,337 | ** | $ | 1,512,506,257 | |||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 25,136 | — | 25,136 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 462,822,698 | $ | 1,041,187,358 | $ | 8,521,337 | ** | $ | 1,512,531,393 | |||||||
|
|
|
|
|
|
|
| |||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks | (91,123,018 | ) | — | — | (91,123,018 | ) | ||||||||||
Exchange-Traded Funds | (2,953,459 | ) | — | — | (2,953,459 | ) | ||||||||||
Corporate Bonds | — | (412,808 | ) | — | (412,808 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | (94,076,477 | ) | (412,808 | ) | — | (94,489,285 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | (94,076,477 | ) | $ | (412,808 | ) | $ | — | $ | (94,489,285 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 607,135 | $ | — | $ | — | $ | 607,135 | ||||||||
Futures | 1,522,066 | — | — | 1,522,066 | ||||||||||||
Swaps - Credit Default | — | (1,884,434 | ) | — | (1,884,434 | ) | ||||||||||
Swaps - Total Return | — | 163,093 | — | 163,093 | ||||||||||||
Written Options | (20,344 | ) | — | — | (20,344 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund . |
(1) | These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities. |
There was $39,957 transferred from Level 2 to Level 3 in Alternative Strategies Fund. Securities were transferred from Level 2 to Level 3 due to the absence of market prices or other observable inputs as of quarter end.
High Income Alternatives Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 3,565 | $ | — | $ | — | $ | 3,565 | ||||||||
Preferred Stocks | 2,160,974 | — | — | 2,160,974 | ||||||||||||
Closed-End Funds | 436,699 | — | — | 436,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 2,601,238 | — | — | 2,601,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 15,719,523 | 137,303 | ** | 15,856,826 | |||||||||||
Bank Loans | — | 26,077,315 | — | 26,077,315 | ||||||||||||
Corporate Bonds | — | 31,676,549 | 212,442 | ** | 31,888,991 | |||||||||||
Government Securities & Agency Issue | — | 18,036,815 | — | 18,036,815 | ||||||||||||
Mortgage-Backed Securities | — | 6,795,513 | — | 6,795,513 | ||||||||||||
Municipal Bond | — | 5,388 | — | 5,388 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 98,311,103 | 349,745 | ** | 98,660,848 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 1,244,586 | — | — | 1,244,586 | ||||||||||||
Repurchase Agreements | — | 4,010,513 | — | 4,010,513 | ||||||||||||
Treasury Bills | — | 49,991 | — | 49,991 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 1,244,586 | 4,060,504 | — | 5,305,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 78,780 | 92,270 | — | 171,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,924,604 | $ | 102,463,877 | $ | 349,745 | ** | $ | 106,738,226 | |||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 897,989 | — | 897,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 3,924,604 | $ | 103,361,866 | $ | 349,745 | ** | $ | 107,636,215 | |||||||
|
|
|
|
|
|
|
| |||||||||
Securities Sold Short | ||||||||||||||||
Mortgage-Backed Securities | — | (2,434,496 | ) | — | (2,434,496 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | — | (2,434,496 | ) | — | (2,434,496 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Reverse Repurchase Agreements | — | (832,727 | ) | — | (832,727 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | — | $ | (3,267,223 | ) | $ | — | $ | (3,267,223 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 23,073 | $ | — | $ | — | $ | 23,073 | ||||||||
Futures | 26,235 | — | — | 26,235 | ||||||||||||
Swaps - Interest Rate | — | (5,129 | ) | — | (5,129 | ) | ||||||||||
Swaps - Credit Default | — | 2,699 | — | 2,699 | ||||||||||||
Written Options | (357,160 | ) | — | — | (357,160 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the High Income Alternatives Fund. |
There was $375,191 transferred from Level 2 to Level 3 in High Income Alternatives Fund. Securities were transferred from Level 2 to Level 3 due to the absence of market prices or other observable inputs as of quarter end.
iM Dolan McEniry Corporate Bond Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Fixed Income | ||||||||||||||||
Corporate Bonds | $ | — | $ | 96,434,063 | $ | — | $ | 96,434,063 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 96,434,063 | — | 96,434,063 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 96,434,063 | $ | — | $ | 96,434,063 | ||||||||
|
|
|
|
|
|
|
|
iM DBi Hedge Strategy ETF
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Short-Term Investments | ||||||||||||||||
Treasury Bills | $ | — | $ | 15,441,802 | $ | — | $ | 15,441,802 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 15,441,802 | — | 15,441,802 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 15,441,802 | $ | — | $ | 15,441,802 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Futures | $ | (468,789 | ) | $ | — | $ | — | $ | (468,789 | ) | ||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
iM DBi Managed Futures Strategy ETF
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Short-Term Investments | ||||||||||||||||
Treasury Bills | $ | — | $ | 42,311,690 | $ | — | $ | 42,311,690 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 42,311,690 | — | 42,311,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 42,311,690 | $ | — | $ | 42,311,690 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Futures | $ | (618,850 | ) | $ | — | $ | — | $ | (618,850 | ) | ||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
There was $x,xxx,xxx transferred from Level 2 to Level 3 in Alternative Strategies Fund. Securities transferred from Level 2 to Level 3 were due to [Litman provides reason].
There was $xx transferred from Level 3 to Level 2 in Alternative Strategies Fund. Securities transferred from Level 3 to Level 2 were due to [Litman provides reason]
Principal Risks
Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
• | Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the market’s perception of the value of issuers or collateral. |
• | Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as “junk bonds”), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody’s Investors Service (“Moody’s”) or BB+ through D by Standard & Poor’s Rating Group (“S&P”) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody’s or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund’s ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities. |
• | Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized. |
• | Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Fund’s financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Fund’s right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer’s obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuer’s obligations under a financial instrument. |
• | Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class. |
Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
• | Communications Services Sector Risk. A Fund may invest a portion of its assets in the communications services sector. Media and communications companies may be significantly affected by product and service obsolescence due to technological advancement or development, competitive pressures, substantial capital requirements, fluctuating demand and changes in regulation. |
• | Consumer Discretionary Sector Risk. A Fund may invest a portion of its assets in the consumer discretionary sector. The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace. |
• | Consumer Staples Sector Risk. Certain of the Funds, through the implementation of their respective investment strategies, may from time to time invest a significant portion of their assets in the consumer staples sector, which includes, for example, the food and staples retailing industry, the food, beverage and tobacco industry and the household and personal products industry. This sector can be significantly affected by, among other factors, the regulation of various product components and production methods, marketing campaigns and changes in the global economy, consumer spending and consumer demand. Tobacco companies, in particular, may be adversely affected by new laws, regulations and litigations. Companies in the consumer staples sector may also be adversely affected by changes or trends in commodity prices, which may be influenced by unpredictable factors. These companies may be subject to severe competition, which may have an adverse impact on their profitability. |
• | Convertible Arbitrage Risk. Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities. |
• | Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer’s operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock. |
• | Country/Regional Risk. World events – such as political upheaval, financial troubles, or natural disasters – may adversely affect the value of securities issued by companies in foreign countries or regions. Because each of the International Fund and Oldfield International Value Fund may invest a large portion of its assets in securities of companies located in any one country or region, including emerging markets, the Fund’s performance may be hurt disproportionately by the poor performance of its investments in that area. This risk is heightened in emerging markets. |
• | Credit Risk. This is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty of a derivatives contract or other transaction, is unable or unwilling (or is perceived to be unable or unwilling) to make timely payment of principal and/or interest, or to otherwise honor its obligations. |
• | Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes. |
• | Cybersecurity Risk. Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds’ service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance. |
• | Debt Securities Risk. This is the risk that the value and liquidity of debt securities may be reduced under certain circumstances. The value of debt securities can fluctuate in response to issuer activity and changes in general economic and credit market conditions, including changes in interest rates. In recent years, dealer capacity in the debt and fixed income markets appears to have undergone fundamental changes, including a reduction in dealer market-making capacity. These changes have the potential to decrease substantially liquidity and increase volatility in the debt and fixed income markets. |
• | Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom. |
• | Options Risk. This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options. |
• | Futures Contracts Risk. This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Fund’s net asset value to greater volatility. |
• | P-Notes Risk. This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk. |
• | Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so. |
• | Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. |
• | Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies. |
• | European Investment Risk. Each of the International Fund and Oldfield International Value Fund may invest a significant portion of its assets in issuers based in Western Europe and the United Kingdom (“UK”). The economies of countries in Europe are often closely connected and interdependent, and events in one country in Europe can have an adverse impact on other European countries. Efforts by the member countries of the European Union (“EU”) to continue to unify their economic and monetary policies may increase the potential for similarities in the movements of European markets and reduce the potential investment benefits of diversification within the region. However, the substance of these policies may not address the needs of all European economies. European financial markets have in recent years experienced increased volatility due to concerns with some countries’ high levels of sovereign debt, budget deficits and unemployment. Markets have also been affected by the withdrawal of the UK from the EU (an event commonly known as “Brexit”). On January 31, 2020, the UK officially withdrew from the EU and entered into a transition period until December 31, 2020, during which the UK effectively remained in the EU from an economic perspective. The impact of Brexit on the UK, the EU and the broader global economy may be significant. As a result of the political divisions within the UK and between the UK and the EU that the referendum vote has highlighted and the uncertain consequences of Brexit, the UK and European economies and the broader global economy could be significantly impacted, which may result in increased volatility and illiquidity and potentially lower economic growth on markets in the UK, Europe and globally, which could potentially have an adverse effect on the value of a Fund’s investments. |
• | Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies. |
• | Financial Sector Risk. A Fund may invest a portion of its assets in the financial services sector and, therefore, the performance of the Fund could be negatively impacted by events affecting this sector, including changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and cost of capital. |
• | Foreign Investment and Emerging Markets Risks. This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund’s ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States. |
• | Healthcare Sector Risk. A Fund may invest a portion of its assets in the healthcare sector. The profitability of companies in the healthcare sector may be adversely affected by government regulations and government healthcare programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many healthcare companies are heavily dependent on patent protection, and the expiration of a company’s patent may adversely affect that company’s profitability. Healthcare companies are subject to competitive forces that may result in price discounting, and may be thinly capitalized and susceptible to product obsolescence. |
• | Industrial Sector Risk. A Fund may invest a portion of its assets in the industrial sector. Companies in the industrial sector could be affected by, among other things, government regulation, world events and global economic conditions, insurance costs, and labor relations issues. |
• | Interest Rate Risk. This is the risk that debt securities will decline in value because of changes in interest rates. A Fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a Fund with a shorter average portfolio duration. |
• | Investment Selection Risk. The specific investments held in the Fund’s investment portfolio may underperform other funds in the same asset class or benchmarks that are representative of the general performance of the asset class because of a portfolio manager’s choice of securities. |
• | Investment in Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles’ expenses, which will reduce the Fund’s performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF’s shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETF’s shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons. |
• | Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank’s financial condition. |
• | Japanese Investment Risk. Japan may be subject to political, economic, nuclear and labor risks, among others. Any of these risks, individually or in the aggregate, can impact an investment made in Japan. The growth of Japan’s economy has recently lagged that of its Asian neighbors and other major developed economies. Since 2000, Japan’s economic growth rate has generally remained low relative to other advanced economies, and it may remain low in the future. The Japanese economy faces several concerns, including a financial system with large levels of nonperforming loans, overleveraged corporate balance sheets, extensive cross-ownership by major corporations, a changing corporate governance structure, large government deficits, heavy dependence on international trade and oil and other commodity imports, an aging workforce and significant population decline, sometimes unpredictable national politics, political tensions with China, and natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis. Any of these concerns could negatively affect the value of Japanese investments. |
• | Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Fund’s net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. |
• | Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Fund’s portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes. |
• | LIBOR Risk. LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. |
• | Market Risk. As with all mutual funds that invest in common stocks, the value of an individual’s investment will fluctuate daily in response to the performance of the individual stocks held in a Fund. The stock market has been subject to significant volatility recently, which has increased the risks associated with an investment in a Fund. |
• | Materials Sector Risk. A Fund may invest a portion of its assets in the materials sector. Many companies in this sector are significantly affected by the level and volatility of commodity prices, the exchange value of the U.S. dollar, import controls, worldwide competition, environmental policies and consumer demand. At times, worldwide production of industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for environmental damage and general civil liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, technical progress, labor relations, and government regulations. |
• | Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated. |
• | Mid-Sized Companies Risk. Securities of companies with mid-sized market capitalizations are generally more volatile and less liquid than the securities of large-capitalization companies. Mid-sized companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. Mid-sized companies may have relatively short operating histories or may be newer public companies. Some of these companies have more aggressive capital structures, including higher debt levels, than large-cap companies, or are involved in rapidly growing or changing industries and/or new technologies, which pose additional risks. |
• | Models and Data Risk. The Alternative Strategies Fund uses proprietary systematic and quantitative models as part of its investment strategies. These models may fail to identify profitable opportunities at any time. Furthermore, the models may incorrectly identify opportunities and these misidentified opportunities may lead to substantial losses for the Fund. Models may be predictive in nature and such models may result in an incorrect assessment of future events. Data used in the construction of models may prove to be inaccurate or stale, which may result in losses for the Fund. |
• | Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities. |
• | Multi-Style Management Risk. Because portions of a Fund’s assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style. |
• | Municipal Securities Risk. Municipal securities can be significantly affected by litigation, political or economic events, as well as uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders. Municipal securities backed by current or anticipated revenues from specific projects or assets can be negatively affected by the inability of the issuer to collect revenues for the projects or from the assets. |
• | Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Fund’s shareholders as compared to shares in investment companies that hold investments for a longer period. |
• | Public Health Emergency Risk. This is the risk that pandemics and other public health emergencies, including outbreaks of infectious diseases such as the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and materially and adversely impact economic conditions in ways that cannot be predicted, all of which could result in substantial investment losses. Containment efforts and related restrictive actions by governments and businesses have significantly diminished and disrupted global economic activity across many industries. Less developed countries and their health systems may be more vulnerable to these impacts. The ultimate impact of COVID-19 or other health emergencies on global economic conditions and businesses is impossible to predict accurately. Ongoing and potential additional material adverse economic effects of indeterminate duration and severity are possible. The resulting adverse impact on the value of an investment in a Fund could be significant and prolonged. |
• | Sector Weightings Risk. To the extent that a Fund emphasizes, from time to time, investments in a particular sector, the Fund will be subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect a single sector. By focusing its investments in a particular sector, a Fund may face more risks than if it were diversified broadly over numerous sectors. |
• | Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short. |
• | Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. |
• | Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all. |
• | TBAs and Dollar Rolls Risk. TBA (“to-be-announced”) and dollar roll transactions present special risks to the Alternative Strategies Fund. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on a forward |
commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Fund will still bear the risk of any decline in the value of the security to be delivered. TBAs and other forward settling securities involve leverage because they can provide investment exposure in an amount exceeding the fund’s initial investment. Leverage can magnify investment risks and cause losses to be realized more quickly. While dollar roll transactions involve the simultaneous purchase and sale of substantially similar TBA securities with different settlement dates, these transactions do not require the purchase and sale of identical securities so the characteristics of the security delivered to the Fund may be less favorable than the security delivered to the dealer. |
• | Technology Investment Risk. A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history. |
• | Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Fund’s return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard. |
• | Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such security’s value may decrease. |